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http://hdl.handle.net/1893/34394| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management |
| Author(s): | Rababa’a, Abdel Razzaq Al Alomari, Mohammad Rehman, Mobeen Ur McMillan, David Hendawi, Raed |
| Contact Email: | david.mcmillan@stir.ac.uk |
| Keywords: | Wavelet coherence Economic policy uncertainty Sectoral returns Value at risk Sharpe ratio |
| Issue Date: | Oct-2022 |
| Date Deposited: | 3-Jun-2022 |
| Citation: | Rababa’a ARA, Alomari M, Rehman MU, McMillan D & Hendawi R (2022) Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management. Research in International Business and Finance, 61, Art. No.: 101664. https://doi.org/10.1016/j.ribaf.2022.101664 |
| Abstract: | This study examines the multiscale links between economic policy uncertainty (EPU) and sectoral stock returns in China, India, the UK, and the US. We find that the impact of domestic EPU on sectoral returns persists at low frequencies and over the full sample period, especially in the financial sectors of China, the UK, and the US. The combined impact of domestic and US EPU endures the longest in the UK and China over a 16–32 month horizon. We also observe a high Sharpe ratio (low Value-at-Risk; VaR) in the presence of considerable US EPU that flips across sectors. During rising US EPU, the portfolio optimization exercise suggests weighting Chinese and Indian sectors higher. Finally, the VaR exercise produces identical portfolio diversification benefits in the equally weighted global and China stocks portfolios. |
| DOI Link: | 10.1016/j.ribaf.2022.101664 |
| Rights: | This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Rababa’a ARA, Alomari M, Rehman MU, McMillan D & Hendawi R (2022) Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management. Research in International Business and Finance, 61, Art. No.: 101664. https://doi.org/10.1016/j.ribaf.2022.101664 © 2022, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Licence URL(s): | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Blinded_RIBAF-D-21-00192R1.pdf | Fulltext - Accepted Version | 4.13 MB | Adobe PDF | View/Open |
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