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Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Author

Listed:
  • Pitipat Nittayakamolphun

    (Faculty of Management Sciences, Buriram Rajabhat University, Buriram 31000, Thailand)

  • Thanchanok Bejrananda

    (Faculty of Economics, Maejo University, Chiang Mai 50290, Thailand)

  • Panjamapon Pholkerd

    (Faculty of Management Sciences, Buriram Rajabhat University, Buriram 31000, Thailand)

Abstract

The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

Suggested Citation

  • Pitipat Nittayakamolphun & Thanchanok Bejrananda & Panjamapon Pholkerd, 2024. "Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets," JRFM, MDPI, vol. 17(4), pages 1-17, April.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:155-:d:1374497
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    References listed on IDEAS

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    1. Pástor, Ľuboš & Veronesi, Pietro, 2013. "Political uncertainty and risk premia," Journal of Financial Economics, Elsevier, vol. 110(3), pages 520-545.
    2. Steven J. Davis, 2016. "An Index of Global Economic Policy Uncertainty," NBER Working Papers 22740, National Bureau of Economic Research, Inc.
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