TY - GEN
T1 - Can Country Risk Rating, Economic Policy Uncertainty, Investor Sentiment and Oil Prices Forecast Emerging Markets Equity Returns?
AU - Saputro Widjaja, Untung
AU - Rokhim, Rofikoh
N1 - Publisher Copyright:
© 2020 ACM.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2020/6/17
Y1 - 2020/6/17
N2 - This research analyzes the causal relationship between country risk rating, economic policy uncertainty (EPU), investor sentiment, oil prices and equity returns in several emerging markets over a decade. We use the nonlinear non-parametric Granger causality model and Vector Error Correction model to describe and investigate the causal correlation between country risk rating, economic policy uncertainty, oil prices, and investor sentiment and equity returns at the original level. We find Granger causal relationship-VECM with oil prices to predict stock returns in emerging markets and further research is suggested to investigate the usage of Credit Default Swap as country risk rating proxy to predict stock markets returns.
AB - This research analyzes the causal relationship between country risk rating, economic policy uncertainty (EPU), investor sentiment, oil prices and equity returns in several emerging markets over a decade. We use the nonlinear non-parametric Granger causality model and Vector Error Correction model to describe and investigate the causal correlation between country risk rating, economic policy uncertainty, oil prices, and investor sentiment and equity returns at the original level. We find Granger causal relationship-VECM with oil prices to predict stock returns in emerging markets and further research is suggested to investigate the usage of Credit Default Swap as country risk rating proxy to predict stock markets returns.
KW - country risk rating
KW - economic policy uncertainty
KW - Emerging markets
KW - equity returns
KW - investor sentiment
KW - oil prices
UR - http://www.scopus.com/inward/record.url?scp=85094827433&partnerID=8YFLogxK
U2 - 10.1145/3409929.3409933
DO - 10.1145/3409929.3409933
M3 - Conference contribution
AN - SCOPUS:85094827433
T3 - ACM International Conference Proceeding Series
SP - 27
EP - 33
BT - ICEEG 2020 - 2020 4th International Conference on E-commerce, E-Business and E-Government
PB - Association for Computing Machinery
T2 - 4th International Conference on E-commerce, E-Business and E-Government, ICEEG 2020
Y2 - 17 June 2020 through 19 June 2020
ER -