The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea

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dc.contributor.author Balcilar, Mehmet
dc.contributor.author Gupta, Rangan
dc.contributor.author Kim, Won Joong
dc.contributor.author Kyei, Clement
dc.date.accessioned 2019-01-15T10:03:23Z
dc.date.issued 2019-01
dc.description.abstract This paper analyzes whether we can predict stock return and its volatility of Hong Kong, Malaysia and South Korea based on measures of domestic and global (China, the European Area, Japan, and the US) economic policy uncertainties (EPU). While, linear Granger causality tests fail to find evidence of predictability, barring the case of South Korean EPU predicting its own stock returns, when we use a nonparametric causality-in-quantiles test, strong evidence of causality is detected from the EPUs for stock return volatility of Malaysia, and both returns and volatility at certain parts of the conditional distributions for South Korea. There is no evidence of predictability from domestic and global EPUs for return and volatility of the Hong Kong stock market. Given the statistical evidence of nonlinearity in our data set, we consider the results from the nonparametric test as more robust relative to the standard linear causality test. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-01-01
dc.description.librarian hj2019 en_ZA
dc.description.uri http://www.elsevier.com/locate/iref en_ZA
dc.identifier.citation Balcilar, M., Gupta, R., Kim, W.J. et al. 2019, 'The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea', International Review of Economics and Finance, vol. 59, pp. 150-163. en_ZA
dc.identifier.issn 1059-0560 (print)
dc.identifier.issn 1873-8036 (online)
dc.identifier.other 10.1016/j.iref.2018.08.016
dc.identifier.uri http://hdl.handle.net/2263/68145
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Review of Economics and Finance, vol. 59, pp. 150-163, 2019. doi : 10.1016/j.iref.2018.08.016. en_ZA
dc.subject Economic policy uncertainty (EPU) en_ZA
dc.subject Emerging markets en_ZA
dc.subject Linear causality en_ZA
dc.subject Nonparametric quantile causality en_ZA
dc.subject Stock returns en_ZA
dc.subject Volatility en_ZA
dc.title The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea en_ZA
dc.type Postprint Article en_ZA


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