Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets

IF 2.3 Q2 ECONOMICS

Journal of Economics, Finance and Administrative Science Pub Date : 2022-06-14 DOI:10.1108/jefas-04-2021-0032

Hassanudin Mohd Thas Thaker, Mohamed Asmy Bin Mohd Thas Thaker, Muhammad Rizky Prima Sakti, I. Sifat, Anwar Bin Allah Pitchay, Hafezali Iqbal Hussain

{"title":"Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets","authors":"Hassanudin Mohd Thas Thaker, Mohamed Asmy Bin Mohd Thas Thaker, Muhammad Rizky Prima Sakti, I. Sifat, Anwar Bin Allah Pitchay, Hafezali Iqbal Hussain","doi":"10.1108/jefas-04-2021-0032","DOIUrl":null,"url":null,"abstract":"PurposeThe purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.Design/methodology/approachThis paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.FindingsThis paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.Practical implicationsFrom a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.Originality/valueTheoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":"288 1","pages":""},"PeriodicalIF":2.3000,"publicationDate":"2022-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Economics, Finance and Administrative Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jefas-04-2021-0032","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 3

Abstract

PurposeThe purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.Design/methodology/approachThis paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.FindingsThis paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.Practical implicationsFrom a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.Originality/valueTheoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.

查看原文本刊更多论文

中国经济政策的不确定性与投资机会:东盟股市的故事

目的研究中国经济政策不确定性(EPU)对东盟5个经济体投资机会的影响。本文采用先进的实证方法，如多元DCC-GARCH和连续小波变换(CWT)来检验研究目标。分析期间涉及2003年至2019年的月度数据。本文提供的证据表明，马来西亚股市受中国EPU风险的影响最小，其次是新加坡、菲律宾、泰国和印度尼西亚。基于时间跨度的投资机会结果显示，就短期持有而言，投资者最好投资于新加坡和印度尼西亚，而就中期持有而言，除菲律宾外，所有东盟市场似乎都有利可图。实践启示本研究的结果或发现，期望能协助散户及机构投资者在不同持有期的股票投资组合中，设计更佳的分散化策略。原创性/价值从理论上讲，本研究的发现为关注区域政策传播的新兴文献提供了新的见解。就作者所知，这项研究在方法论上也是一项新颖的尝试。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

5.10

自引率

20.80%

发文量

审稿时长

12 weeks

期刊介绍： The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.