Vichet Sum

Economic Policy Uncertainty and Stock Market Returns

This paper investigates how stock market returns respond to economic policy uncertainty shocks. Based on the vector autoregression (VAR) analysis of the monthly changes in economic policy uncertainty index in the United States and CRSP value-weighted index from 1985:M2 to 2012:M6, the results show that stock returns negatively respond to economic policy uncertainty shocks in the first, fourth, fifth, eighth, night, tenth and eleventh months. In addition, the results from Granger causality Wald tests show that economic policy uncertainty is helping in predicting stock returns. Finally, the results from the time-varying OLS regression also show that changes in economic policy uncertainty index predict negative stock returns.

Stock Market Returns and Liquidity: Dynamic Relationships and Causality

This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity as measured by share turnover (the total number of shares traded over a period divided by the average number of shares outstanding for the period). The analyses of the monthly data spanning from 1926 to 2011 of the NYSE share volume turnover and returns on the NYSE stock portfolios show that the returns on the NYSE value-weighted stock portfolio are immediately negative in the first month following the NYSE share turnover shock; however, the returns become positive after five months following the shock. The returns on the NYSE largest stock portfolio are negative for the first five months following the share turnover shock. There is a significant jump in the NYSE share turnover in the first month following the shock of the returns on the NYSE value-weighted and equal-weighted portfolios; this finding is consistent with the overconfidence theory. The causality test results indicate that stock returns and liquidity Granger cause each other. The results of this study offer important information and implications for investment and risk management.

Financial Stress and Economic Policy Uncertainty: Impulse Response Functions and Causality

This study employs the vector autoregression (VAR) analysis to empirically report the impulse response functions of economic policy certainty and financial stress. A causality test of these two variables is also performed. The analysis of the monthly changes in the economic policy uncertainty index and the Federal Reserve Bank of St. Louis Financial Stress Index from 1994:1 to 2012:5 including up 9 lags shows that the financial stress jumps in the first, fifth, and eighth through twelfth months following economic policy shocks. In addition, economic policy uncertainty jumps in the first, third, fourth, sixth, seventh, and ninth months following financial stress shocks. The Granger causality test shows that financial stress and economic policy uncertainty Granger-cause each other. The time-series OLS regression analysis shows a statistically significant positive coefficient (b = 24.16609; t = 6.56) when monthly changes of financial stress is the independent variable.

Evaluating the Competitiveness of Least-Developed Countries – The Example of Cambodia

Globalization, which has become a critical activity for many contemporary enterprises, is achieved primarily through collaboration and alliance with firms in different countries. In this respect, the government can play a vital role by providing an adequate infrastructure and competitive investment environment that attracts foreign firms to invest. The composite measure of a nation’s economy, technology, human resources and management, among other things, reflects the national competitiveness. Through a series of discussions with researchers in Southeast Asian countries, extensive literature review, and expert interviews, this study developed a comprehensive framework of national competitiveness for the least-developed countries, which is then used for measuring the national competitiveness of Cambodia. The results of this study indicate that Cambodia’s economic performance, technology development, human resources, and management capability are relatively poor, but its growth of industrial production and its favorable weekly working hours are laudable. A detailed description of implications for each category of competitiveness can be found in the study. Issues related to “black economy” are also mentioned in this study, which is useful for obtaining a full picture of the national competitiveness of Cambodia.

Economic Policy Uncertainty in the United States and Europe: A Cointegration Test

Economic uncertainty is closely followed and analysed by businesses, policy makers and academic scholars because the world economies have now become very closely interconnected more than ever. This study is to examine a relationship between economic policy uncertainty between the United States and Europe. The results reveal a long-run equilibrium relationship (cointegration) in economic policy uncertainty between the United States and Europe. The findings provide evidence of the interconnectedness of economic conditions between the United State and Europe in line with the international transmission and spill-over literature.

The Reaction of Stock Markets in the BRIC Countries to Economic Policy Uncertainty in the United States

This study examines if economic policy uncertainty in the U.S. has any effect on the returns on stock markets in the BRIC (Brazil, Russia, India and China) countries. The current study also investigates how stock market returns in the four countries respond to the U.S. economic policy uncertainty shock. The Granger causality tests are also performed to determine if economic policy uncertainty cause the returns on the four stock markets. The results show that the U.S. economic policy uncertainty negatively affect stock market returns in Brazil, India and Russia; this negative effect is statistically significant at the 10% level for Brazil and at the 1% level for India and Russia. Stock returns in China are also negatively affected by the U.S. economic policy uncertainty; however, this effect is not statistically significant. The negative effect of economic policy uncertainty on stock market returns becomes statistically insignificant for Brazil and India controlling for the SP the coefficient for Russia is still statistically significant but at the 10% level.

Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine

This study investigates the effect of the changes in economic policy uncertainty in Europe on the performance of stock markets in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Based on the analyses of monthly returns on the major stock market indices in these countries from 1993:2 to 2012:4, the results show that the changes in economic policy uncertainty in Europe negatively affect all stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine, and the effect is statistically significant for all countries except Croatia and seven members (Bulgaria, Estonia, Latvia, Lithuania, Malta, Slovakia and Slovenia) of the European Union. The findings provide empirical evidence of the effect of economic policy uncertainty on the stock market performance in Europe. This study provides important implication for equity investment and risk management.

Real Estate Sector Response to Economic Policy Uncertainty Shocks

This paper examines the effect of economic policy uncertainty on the performance of the real estate sector proxied by Real Estate Investment Trust (REIT) returns in the United States. Using monthly REIT index data and the monthly changes in a newly constructed index of economic policy uncertainty (∆EPU) in the United States spanning 1985-2011, we investigate the impulse response functions of the REIT returns to the changes in economic policy uncertainty using a vector auto regression (VAR) analysis. The Granger-causality test is also performed to determine if economic policy uncertainty causes the fluctuations in REIT returns. The relationship is weaker for mortgage investments than the total index. When mediated by the CRSP Value Weighted Stock Returns, the relationship between REIT returns and the ∆EPU becomes insignificant.

Stock Market Risk Premiums, Business Confidence and Consumer Confidence: Dynamic Effects and Variance Decomposition

This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance decomposition. The results show that the response of stock market risk premiums becomes positive immediately following the shocks to business confidence and consumer confidence. Based on the variance decomposition analysis, the variability of stock market risk premiums is 95% due to its own shock and the rest is due to the shocks to business confidence (1%) and consumer confidence (4%) for the 3-month horizon. For the 6-month horizon, the variability of stock market risk premiums is 93% due to its own shock, 2% due to business confidence shock and 5% due to consumer confidence shock. The forecast error of stock market risk premiums is 90% due to its own shock and the rest is due to the shocks to business confidence (4%) and consumer confidence (6%) for the 12-month horizon. The results from the OLS time-series regression show that business confidence and consumer confidence jointly explain around 7.42% of the variation of stock market risk premiums.

STRATEGIC INVOLVEMENT OF TRAINING PROFESSIONALS IN THE FIRM'S BUSINESS STRATEGIES: EVIDENCE FROM THE U.S.

The problem of this study is to investigate the extent to which training professionals employed in USbased global and local companies are strategically integrated in their companies’ business strategies. The t-test analysis of data obtained from an online survey of training professionals shows that there is not a statistically significant difference in the involvement of training professionals, who are employed in USbased global and local companies, in their firms’ differentiation, cost leadership, focus, market penetration, and market development strategies. However, the same analysis shows a statistically significant difference in the involvement of training professionals in their respective firms’ product/service development, and diversification strategies.