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All Journal International Journal of Economics, Business and Accounting Research (IJEBAR)
Khaeru Nisa Aulia Urakhma
Unknown Affiliation
Economics, Econometrics & Finance

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ANALYSIS OF THE INFLUENCE OF THE UNITED STATES (US) AND CHINA ECONOMIC POLICY UNCERTAINTY (EPU) ON STOCK VOLATILITY IN 5 ASEAN COUNTRIES BEFORE AND DURING COVID-19 Khaeru Nisa Aulia Urakhma; Harjum Muharram
International Journal of Economics, Business and Accounting Research (IJEBAR) Vol 5, No 4 (2021): IJEBAR : Vol. 05, Issue 04, December 2021
Publisher : LPPM ITB AAS INDONESIA (d.h STIE AAS Surakarta)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29040/ijebar.v5i4.3931

Abstract

The purpose of this study is to analyze the effect of Economic Policy Uncerianty (EPU) on the volatility of the ASEAN 5 stock market. The method used in this study is a quantitative research method using a regression model and Generalized Autoregressive Conditional Heteroscedasticity (GARCH). The sample of this research is 5 ASEAN countries, namely Indonesia, Malaysia, Singapore, Thailand and the Philippines. The results showed that the United States EPU found a positive effect on the volatility of the stock market indexes of Malaysia, Singapore, and Thailand while Indonesia and the Philippines did not have a positive effect in the period before and during COVID-19. China's EPU has no effect on the volatility of the ASEAN 5 stock market indexes before and during COVID-19. This study also finds that the volatility of the previous period affects the volatility of the current ASEAN 5 stock market index before and during COVID-19. Keywords: Economic Policy Uncertainty (EPU), GARCH, Volatility of stock market indices, COVID-19 pandemic
Co-Authors Harjum Muharram