Abstract

http://ssrn.com/abstract=2094688
 


 



Do Stock Markets in South Asia Respond to Economic Policy Uncertainty in the United States?


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

June 27, 2012


Abstract:     
This paper examines if stock markets in South Asia (Bangladesh, India, Nepal, Pakistan and Sri Lanka) respond to the changes in economic policy uncertainty in the United States. Based on the analysis of monthly returns on the stock market indices in Bangladesh from 1990:1 to 2009:4, India and Pakistan from 1985:2 to 2012:5, Nepal from 1996:1 to 2012:5, and Sri Lanka from 1993:1 to 2012:5, the results show that stock markets in India and Pakistan negatively and significantly respond to the changes in economic policy uncertainty in the U.S. While stock markets in Bangladesh, Nepal and Sri Lanka negatively respond to the changes in economic policy uncertainty in the U.S., this response is not significant. The findings provide empirical evidence of the effect of economic policy uncertainty in the U.S. on the performance of stock markets in South Asia. This study provides an important implication for equity investment and risk management.

Keywords: economic policy uncertainty, stock return performance, USA, South Asia

JEL Classification: E60, G12, G14

working papers series





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Date posted: June 27, 2012  

Suggested Citation

Sum, Vichet, Do Stock Markets in South Asia Respond to Economic Policy Uncertainty in the United States? (June 27, 2012). Available at SSRN: http://ssrn.com/abstract=2094688

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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