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Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach

This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the US stock market volatility (using the VIX and...

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Detalles Bibliográficos
Autores principales: Tran, Minh Phuoc-Bao, Vo, Duc Hong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10162527/
https://www.ncbi.nlm.nih.gov/pubmed/37146006
http://dx.doi.org/10.1371/journal.pone.0285279
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author Tran, Minh Phuoc-Bao
Vo, Duc Hong
author_facet Tran, Minh Phuoc-Bao
Vo, Duc Hong
author_sort Tran, Minh Phuoc-Bao
collection PubMed
description This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the US stock market volatility (using the VIX and SKEW indices). Our sample includes 11 Asia-Pacific countries for the 1985–2022 period. We employ the nonlinear autoregressive distributed lag approach (ARDL) estimation technique to capture the asymmetric effects of uncertainties on market return and volatility, which are documented in the literature. Some findings are documented as follows. First, we find that US uncertainty indices, including US geopolitical risk, US economic policy uncertainty, and US VIX, significantly impact Asia-Pacific stock markets, while the impacts of domestic geopolitical risk and the US skewness index (SKEW) are relatively weak. Second, Asia-Pacific stock markets tend to overreact to uncertainty shocks stemming from US economic policy uncertainty and US geopolitical risk. Third, US economic policy uncertainty has more significant effects than the US geopolitical risk. Finally, our research documents that Asia-Pacific stock markets react heterogeneously to good and bad news from US VIX. Specifically, an increase in US VIX (bad news) has a stronger impact than a decrease in US VIX (good news). Policy implications have emerged based on the findings of this study.
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spelling pubmed-101625272023-05-06 Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach Tran, Minh Phuoc-Bao Vo, Duc Hong PLoS One Research Article This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the US stock market volatility (using the VIX and SKEW indices). Our sample includes 11 Asia-Pacific countries for the 1985–2022 period. We employ the nonlinear autoregressive distributed lag approach (ARDL) estimation technique to capture the asymmetric effects of uncertainties on market return and volatility, which are documented in the literature. Some findings are documented as follows. First, we find that US uncertainty indices, including US geopolitical risk, US economic policy uncertainty, and US VIX, significantly impact Asia-Pacific stock markets, while the impacts of domestic geopolitical risk and the US skewness index (SKEW) are relatively weak. Second, Asia-Pacific stock markets tend to overreact to uncertainty shocks stemming from US economic policy uncertainty and US geopolitical risk. Third, US economic policy uncertainty has more significant effects than the US geopolitical risk. Finally, our research documents that Asia-Pacific stock markets react heterogeneously to good and bad news from US VIX. Specifically, an increase in US VIX (bad news) has a stronger impact than a decrease in US VIX (good news). Policy implications have emerged based on the findings of this study. Public Library of Science 2023-05-05 /pmc/articles/PMC10162527/ /pubmed/37146006 http://dx.doi.org/10.1371/journal.pone.0285279 Text en © 2023 Tran, Vo https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Tran, Minh Phuoc-Bao
Vo, Duc Hong
Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title_full Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title_fullStr Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title_full_unstemmed Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title_short Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach
title_sort asia-pacific stock market return and volatility in the uncertain world: evidence from the nonlinear autoregressive distributed lag approach
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10162527/
https://www.ncbi.nlm.nih.gov/pubmed/37146006
http://dx.doi.org/10.1371/journal.pone.0285279
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