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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/34394
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dc.contributor.authorRababa’a, Abdel Razzaq Alen_UK
dc.contributor.authorAlomari, Mohammaden_UK
dc.contributor.authorRehman, Mobeen Uren_UK
dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorHendawi, Raeden_UK
dc.date.accessioned2022-06-04T00:00:50Z-
dc.date.available2022-06-04T00:00:50Z-
dc.date.issued2022-10en_UK
dc.identifier.other101664en_UK
dc.identifier.urihttp://hdl.handle.net/1893/34394-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevier BVen_UK
dc.relationRababa’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.2022.101664en_UK
dc.rightsThis 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/en_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.subjectWavelet coherenceen_UK
dc.subjectEconomic policy uncertaintyen_UK
dc.subjectSectoral returnsen_UK
dc.subjectValue at risken_UK
dc.subjectSharpe ratioen_UK
dc.titleMultiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio managementen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2023-10-26en_UK
dc.rights.embargoreason[Blinded_RIBAF-D-21-00192R1.pdf] Publisher requires embargo of 18 months after publication.en_UK
dc.identifier.doi10.1016/j.ribaf.2022.101664en_UK
dc.citation.jtitleResearch in International Business and Financeen_UK
dc.citation.issn0275-5319en_UK
dc.citation.volume61en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date25/04/2022en_UK
dc.contributor.affiliationYarmouk Universityen_UK
dc.contributor.affiliationGerman Jordanian Universityen_UK
dc.contributor.affiliationShaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST)en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationYarmouk Universityen_UK
dc.identifier.isiWOS:000800348100001en_UK
dc.identifier.scopusid2-s2.0-85129093922en_UK
dc.identifier.wtid1816993en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2022-04-03en_UK
dcterms.dateAccepted2022-04-03en_UK
dc.date.filedepositdate2022-06-03en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorRababa’a, Abdel Razzaq Al|en_UK
local.rioxx.authorAlomari, Mohammad|en_UK
local.rioxx.authorRehman, Mobeen Ur|en_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorHendawi, Raed|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2023-10-26en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||2023-10-25en_UK
local.rioxx.licencehttp://creativecommons.org/licenses/by-nc-nd/4.0/|2023-10-26|en_UK
local.rioxx.filenameBlinded_RIBAF-D-21-00192R1.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0275-5319en_UK
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