Proceedings of the International Conference on Sustainable Collaboration in Business, Technology, Information, and Innovation (SCBTII 2024)

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Is the Tobacco Stock Still Relevant for Future Investment?

Authors
Irni Yunita1, Cici Siti Barkah1, *
1School of Economics and Business, Telkom University, Bandung, Indonesia
*Corresponding author. Email: cicisitibarkah@student.telkomuniversity.ac.id
Corresponding Author
Cici Siti Barkah
Available Online 19 November 2024.
DOI
10.2991/978-94-6463-558-4_10How to use a DOI?
Keywords
ASEAN Stock Market; Geopolitical Risk; Economic Policy Uncertainty; Volatility Index; Skewness Index
Abstract

This study examines the effect of uncertainty index asymmetry on stock market performance in 9 ASEAN countries, focusing on short-term and long-term effects. This study analyzes how fluctuations in Geopolitical Risk (GPR), Economic Policy Uncertainty (EPU), Volatility Index (VIX), and Skewness Index (SKEW) affect ASEAN stock returns. ASEAN countries, which are highly integrated in the global economy, are significantly impacted by global economic phenomena. This study uses the Nonlinear Autoregressive Distributed Lag (NARDL) model to analyze the nonlinear effects of positive and negative changes in the uncertainty index on stock returns. The analyzed data includes monthly closing stock prices and the uncertainty index over 2019M01-2023M12. The results show an impact of GPR, EPU, VIX, and SKEW on ASEAN stock returns, with index increases generally decreasing returns and decreases increasing stock returns. The NARDL model reveals consistent short-term asymmetries across countries and specific long-term asymmetries in some countries. This research highlights the importance of hedging strategies for investors in uncertain ASEAN markets.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Conference on Sustainable Collaboration in Business, Technology, Information, and Innovation (SCBTII 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
19 November 2024
ISBN
978-94-6463-558-4
ISSN
2352-5428
DOI
10.2991/978-94-6463-558-4_10How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Irni Yunita
AU  - Cici Siti Barkah
PY  - 2024
DA  - 2024/11/19
TI  - Is the Tobacco Stock Still Relevant for Future Investment?
BT  - Proceedings of the International Conference on Sustainable Collaboration in Business, Technology, Information, and Innovation (SCBTII 2024)
PB  - Atlantis Press
SP  - 167
EP  - 188
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-558-4_10
DO  - 10.2991/978-94-6463-558-4_10
ID  - Yunita2024
ER  -