ANALYSIS OF THE INFLUENCE OF THE UNITED STATES (US) AND CHINA ECONOMIC POLICY UNCERTAINTY (EPU) ON STOCK VOLATILITY IN 5 ASEAN COUNTRIES BEFORE AND DURING COVID-19

Khaeru Nisa Aulia Urakhma, Harjum Muharram

Abstract

The purpose of this study is to analyze the effect of Economic Policy Uncerianty (EPU) on the volatility of the ASEAN 5 stock market. The method used in this study is a quantitative research method using a regression model and Generalized Autoregressive Conditional Heteroscedasticity (GARCH). The sample of this research is 5 ASEAN countries, namely Indonesia, Malaysia, Singapore, Thailand and the Philippines. The results showed that the United States EPU found a positive effect on the volatility of the stock market indexes of Malaysia, Singapore, and Thailand while Indonesia and the Philippines did not have a positive effect in the period before and during COVID-19. China's EPU has no effect on the volatility of the ASEAN 5 stock market indexes before and during COVID-19. This study also finds that the volatility of the previous period affects the volatility of the current ASEAN 5 stock market index before and during COVID-19.
Keywords: Economic Policy Uncertainty (EPU), GARCH, Volatility of stock market indices, COVID-19 pandemic

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