The Impact of Global Economic Policy Uncertainty and Volatility on Stock Markets: Evidence from Islamic Countries

Asian Economic and Financial Review

article

Norashikin Adam¹  Noor Zahirah Mohd Sidek¹  Arshian Sharif² 

[1] Faculty of Business Management, Universiti Teknologi MARA;Othman Yeop Abdullah Graduate School of Business, Universiti Utara Malaysia

关键词: Islamic stock market;    Global economic policy;    Uncertainty;    Volatility index;    Wavelet;    COVID-19.;   

DOI  :  10.18488/5002.v12i1.4400

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This study investigates the impact of uncertainty and volatility on ten Islamic stock returns using monthly data for from 2011:M5 to 2021:M5. We rely on the continuous wavelet transform and wavelet coherence ratios, which allows decomposition of time series across time scales to investigate the causal relationship between stock market returns, economic policy uncertainty and volatility. Our results provide some interesting insights. First, economic policy uncertainty, in general, has a negative effect on the majority of Islamic stock returns, except for the Dow Jones Islamic Market (DJIM). Second, volatility has a significant positive impact on most of the Islamic stock returns in various countries. Third, both economic policy uncertainty and volatility have a greater impact on the Islamic stock returns post-COVID-19 outbreak. These results should assist investors to re-evaluate their portfolios to fully maximize the potentials of these Islamic stock markets. Policymakers could use these results to design policies to reduce economic policy uncertainty as well as to cushion the impact of externally generated uncertainties.

【 授权许可】

CC BY