Asset Pricing and Stock Markets in Emerging Economies: Navigating Uncertainty

Dear Colleagues,

The impact of uncertainty on asset prices is a topic that has been intensively examined in the literature. Macroeconomics uncertainty, as well as economic policy and political uncertainties, are factors that have been found to significantly affect stock returns (Arouri et al., 2016), and several uncertainty measures have been proposed by scholars to investigate the link between uncertainty and stock market performances (Baker et al., 2016), with most of this research focused on developed stock markets. In the literature, uncertainty surrounding developed economies has been demonstrated to have an effect on domestic stock markets, as well as on the performances of foreign stock markets. However, very little is known about the spillover effects from developed to emerging stock markets. Efforts have been made to build measures able to capture economic and policy uncertainty either at the country level or at the cross-country level. The empirical application of these measures has been substantially focused on investigating the effects of economic and policy uncertainty on the stock markets of economies at an advanced stage of economic development (Albrecht et al., 2022). The rapid developments of emerging economies, because of globalization and international trade, has resulted in increased integration of those economies into those of more advanced countries. As the stock market size of the latter is generally much bigger in comparison to stock markets of emerging economies, the effect of economic and political uncertainty in advanced economies tends to generate spillover effects to the stock markets of emerging economies (Sum, 2013; Dakhlaoui and Aloui, 2016). Given this context, we cordially invite scholars to submit research papers focusing on the effects of economic policy uncertainty measures on emerging stock markets.

Bibliography

Albrecht, P., Kapounek, S., Kučerova, Z. (2022). Economic policy uncertainty and stock markets’ comovements. International Journal of Financial economics, 28, 3471-3487.

Arouri, M., Estay, C., Rault, C., Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141.

Baker, S.R., Bloom, N., Davis, S.J. (2016). Measuring economic policy uncertainty. The Quarterly Journals of Economics, 131(4), 1593-1636.

Dakhlaoui, I., Aloui, C. (2016). The interactive relationship between the US economic policy uncertainty and BRIC stock markets. International Economics, 146, 141-157.

Sum, V. (2013). The ASEAN stock market performance and economic policy uncertainty in the United States. Economic Papers, 32(4), 512-521.

Dr. Francesco Guidi
Dr. Mamad S Pourhosseini
Guest Editors

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• asset pricing
• emerging stock markets
• economic policy uncertainty measures