ISSN: 2225-8329
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Using monthly data from January 1997 to July 2020, this study examines the impact of Global Economic Policy Uncertainty (GEPU), Geopolitical Risk (GPR), and oil price (WTI) on ASEAN stock exchanges such as the Jakarta Stock Exchange (JSE), Kuala Lumpur Composite Index (KLCI), Philippine Stock Exchange (PSI), Stock Exchange of Thailand (SET), and Vietnam Stock Index (VNI). We use a two-stage Markov switching model to model market returns as a time-varying transition probability Markovian process. The findings reveal some fascinating new information, such as the fact that global policy uncertainty has a strong negative impact on the bulk of ASEAN stock returns during periods of high volatility. Another finding shows that, contrary to assumptions, geopolitical concerns had no effect across all samples. We also discovered that, in both the low and high volatility regimes, oil price changes have a considerable impact on all ASEAN stock markets.
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In-Text Citation: (Adam & Yacob, 2022)
To Cite this Article: Adam, N., & Yacob, N. (2022). The Impact of Global Economic Policy Uncertainty, Geopolitical Risk and Oil Price on Stock Market: Evidence From Asean Countries. International Journal of Academic Research in Accounting Finance and Management Sciences, 12(1), 28–46.
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