hrcak mascot   Srce   HID

Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1675078

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Mohammad Enamul Hoque   ORCID icon orcid.org/0000-0003-3233-8316 ; Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi, Malaysia
Low Soo Wah ; Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi, Malaysia
Mohd Azlan Shah Zaidi ; Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi, Malaysia

Puni tekst: engleski, pdf (3 MB) str. 3701-3733 preuzimanja: 69* citiraj
APA 6th Edition
Enamul Hoque, M., Soo Wah, L. i Azlan Shah Zaidi, M. (2019). Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach. Economic research - Ekonomska istraživanja, 32 (1), 3701-3733. https://doi.org/10.1080/1331677X.2019.1675078
MLA 8th Edition
Enamul Hoque, Mohammad, et al. "Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 3701-3733. https://doi.org/10.1080/1331677X.2019.1675078. Citirano 06.04.2020.
Chicago 17th Edition
Enamul Hoque, Mohammad, Low Soo Wah i Mohd Azlan Shah Zaidi. "Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 3701-3733. https://doi.org/10.1080/1331677X.2019.1675078
Harvard
Enamul Hoque, M., Soo Wah, L., i Azlan Shah Zaidi, M. (2019). 'Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach', Economic research - Ekonomska istraživanja, 32(1), str. 3701-3733. https://doi.org/10.1080/1331677X.2019.1675078
Vancouver
Enamul Hoque M, Soo Wah L, Azlan Shah Zaidi M. Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 06.04.2020.];32(1):3701-3733. https://doi.org/10.1080/1331677X.2019.1675078
IEEE
M. Enamul Hoque, L. Soo Wah i M. Azlan Shah Zaidi, "Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 3701-3733, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1675078

Sažetak
This article examines the impacts of the geopolitical risk, global economic policy uncertainty, and oil price shocks on stock prices in Malaysia using factor augmented SVAR approach. The findings show that while geopolitical risk has no significant direct impacts on the overall stock market, its indirect impacts are significant and transmitted through the global economic policy uncertainty and oil shocks channels. Global economic policy uncertainty exerts negative effects on the overall stock market and its impacts are magnified by geopolitical risk. Oil related shocks exhibit asymmetric effects on both the aggregated and sectoral stock price. The impacts of oil demand shock on stock price are amplified by global economic uncertainty factor whereas oil supply shocks impacts are amplified by the geopolitical risk factor. At sectoral level, the impacts of all the global shocks vary across different sectors and time. The overall findings imply that global economic policy uncertainty and oil demand shock factors are systematic risk factors that can be employed to forecast stock market returns. The findings also provide implications for policymakers to regulate markets in maintaining financial stability and investors to react to future shocks in these global economic factors with regard to the risks and opportunities.

Ključne riječi
Geo-political risk; global economic policy uncertainty; FAVAR; oil price shocks; sectoral stock price; emerging stock market

Hrčak ID: 229706

URI
https://hrcak.srce.hr/229706

Posjeta: 127 *