Can Country Risk Rating, Economic Policy Uncertainty, Investor Sentiment and Oil Prices Forecast Emerging Markets Equity Returns?

Untung Saputro Widjaja, Rofikoh Rokhim

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

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.

Original languageEnglish
Title of host publicationICEEG 2020 - 2020 4th International Conference on E-commerce, E-Business and E-Government
PublisherAssociation for Computing Machinery
Pages27-33
Number of pages7
ISBN (Electronic)9781450388030
DOIs
Publication statusPublished - 17 Jun 2020
Event4th International Conference on E-commerce, E-Business and E-Government, ICEEG 2020 - Virtual, Online, France
Duration: 17 Jun 202019 Jun 2020

Publication series

NameACM International Conference Proceeding Series

Conference

Conference4th International Conference on E-commerce, E-Business and E-Government, ICEEG 2020
CountryFrance
CityVirtual, Online
Period17/06/2019/06/20

Keywords

  • country risk rating
  • economic policy uncertainty
  • Emerging markets
  • equity returns
  • investor sentiment
  • oil prices

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