Measuring international uncertainty: The case of Korea

Shin, Minchul; Zhang, Boyuan; Zhong, Molin; Lee, Dong Jin

doi:10.1016/j.econlet.2017.10.014

Cited by 30 publications

(18 citation statements)

References 12 publications

(7 reference statements)

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“…Sum (2012a) and Sum (2012b) for the Euro zone, Croatia, Norway, Russia, Switzerland, Turkey, and Ukraine, Bhagat et al (2013) for India, Antonakakis et al (2013), Kang and Ratti (2013) for the US, found a negative causal relationship between EPU and the stock returns. The significant negative effect of the EPU on stock returns also finds support from the empirical studies of Boudoukh et al (2012), Antonakakis et al (2013), Brogaard and Detzel (2015), Davis (2016), Demir and Ersan (2016), Bayar and Erem Ceylan (2017), Shin et al (2017) and Baker et al (2018). However, Brogaard and Detzel (2015) concluded that higher EPU leads to lower contemporaneous stock returns but results in higher future returns.…”

Section: Theory and Literature Reviewmentioning

confidence: 53%

Determinants of Turkish Stock Returns Under the Impact of Economic Policy Uncertainty

Tiryaki

Ti̇ryaki̇

2019

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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This paper aims to investigate the short-run and long-run macroeconomic determinants of the Turkish stock returns under the impact of the "domestic and global economic policy uncertainty" by using the ARDL method and the monthly data for the period of 1991:M1 to 2017:M12. The set of macroeconomic variables utilized in the study are the stock market price indexes of Turkey's BIST100 index (BIST) and the BIST industrial index (IND), industrial production index (IPI), real effective exchange rate (RER), consumer price index (CPI), interest rate (R), Geopolitical risk index for Turkey (GPR) and the Economic Policy Uncertainty index of the United States of America (EPU). The ARDL estimation results reveal that in the short-run the BIST stock returns are positively affected from the changes in IPI, RER and CPI. The effects of the changes in Turkish interest rate (R), EPU and the dummy representing the impact of the 2008 Global Financial Crisis on the stock returns are negative. The long-run determinants of the BIST stock returns are the changes in IPI, RER, and CPI and the EPU. The effect of the changes in the EPU on the stock returns is negative and the effect of the other variables are positive.

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Section: Theory and Literature Reviewmentioning

confidence: 53%

Determinants of Turkish Stock Returns Under the Impact of Economic Policy Uncertainty

Tiryaki

Ti̇ryaki̇

2019

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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“…To the best of our knowledge, the only applications for developed countries in the literature are Grimme and Stöckli ( 2018 ) for Germany and Shin et al. ( 2018 ) for South Korea. For larger developing economies, the only references are Huang et al.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Shin et al. ( 2018 ) estimate the JLN uncertainty index for South Korea, which has similar dynamics with the Korean analog of the US VIX (denominated VKOSPI), but not with the EPU index. Regarding the effect of macroeconomic uncertainty on economic activity, the Korean indicator of industrial production falls sharply about 1% when uncertainty increases.…”

Section: Literature Reviewmentioning

confidence: 99%

Measuring uncertainty: A streamlined application for the Ecuadorian economy

2021

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This paper develops a macroeconomic uncertainty index based on the multistage procedure that combines maximum likelihood and Bayesian estimation methods proposed by Jurado et al. (Am Econ Rev 105(3):1177–1216, 2015). Our approach streamlines the computation of the macroeconomic uncertainty index by specifying a state-space model estimated by maximum likelihood that allows us to obtain in one step the parameters of the model, the dynamic factors, and the forecast errors of the macroeconomic variables used to construct the index. Moreover, we estimate stochastic volatility models on the forecast errors also by maximum likelihood using a density filter that proves to be faster than a Bayesian estimation. After showing that our methodology produces reasonable results for the USA, we apply it to compute a macroeconomic uncertainty index for Ecuador, becoming the first index of this kind for a small developing or middle-income country. The results show that the Ecuadorian economy is more volatile and less predictable during recessions. We also provide evidence that macroeconomic uncertainty is detrimental to economic activity, finding that the responses of non-oil output, employment in the formal sector, and consumer prices to macroeconomic uncertainty shocks are sizable and persistent. Supplementary Information The online version contains supplementary material available at 10.1007/s00181-021-02069-5.

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“…First, we control the effect of the Korean economic uncertainty and investigate whether previous findings are robust to it. Specifically, we additionally include the Korean uncertainty index constructed by Shin et al (2018) 12 in Eq. (1) to estimate the marginal effects of the US economic uncertainty ( ) and the Korean economic uncertainty ( ).…”

Section: Robustness Checkmentioning

confidence: 99%

“…We appreciate an anonymous referee to suggest robustness tests using the Korean uncertainty index and the VIX.12 The Korean economic uncertainty index constructed byShin et al (2018) is provided as Appendix A. Supplementary…”

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confidence: 99%

US Economic Uncertainty and the Korean Stock Market Reaction

Yun

Kang

Kwon

2019

Emerging Markets Finance and Trade

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This paper examines whether US economic uncertainty is significantly priced in the Korean stock markets.Our results show that stocks highly sensitive to US economic uncertainty with positively or negatively large uncertainty betas have lower future returns. Motivated by Miller's (1977) and Hong and Sraer's (2016) overpricing explanation, we suggest that these stocks are more likely to be exposed to greater divergence of opinions and thus overpriced. More importantly, we further suggest that the large proportion of retail investors which is a distinctive feature of the Korean stock markets contributes to overpricing by limiting arbitrage. Utilizing our unique intraday data, we measure limits to arbitrage with levels of retail trading, and find further supporting evidence that overpricing is significant only within stocks with high limits to arbitrage and in during high retail-sentiment period.

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Measuring international uncertainty: The case of Korea

Cited by 30 publications

References 12 publications

Determinants of Turkish Stock Returns Under the Impact of Economic Policy Uncertainty

Determinants of Turkish Stock Returns Under the Impact of Economic Policy Uncertainty

Measuring uncertainty: A streamlined application for the Ecuadorian economy

US Economic Uncertainty and the Korean Stock Market Reaction

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