Abstract Book of the 11th International Conference on Research in Business, Management and Economics
Year: 2026
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Global Uncertainty and Asean Emerging Stock Markets: Asymmetric Evidence from a Nardl Approach
Hansel Fenglyn Kamirau, Liliana Inggrit Wijaya, Zunairoh Zunairoh
ABSTRACT:
Global uncertainty profoundly impacts the stability of emerging stock markets. This study investigates the asymmetric effects of Geopolitical Risk (GPR), Trade Policy Uncertainty (TPU), and the Volatility Index (VIX) on stock market index performance across four ASEAN emerging markets (Indonesia, Malaysia, Thailand, and Philippines). Utilizing monthly data from January 2016 to April 2026, we apply a Non-linear Autoregressive Distributed Lag (NARDL) approach incorporating structural breaks to account for potential regime changes during the sample period. Domestic exchange rates and global oil prices are included as control variables, representing domestic currency stability and exposure to global commodity shocks, respectively. The Bounds test confirms the presence of long-run cointegration for most of the sampled nations, though Malaysia exhibits comparatively weaker evidence of this equilibrium. The long-run estimates reveal that positive VIX shocks significantly depress stock market performance in Malaysia, Thailand, and the Philippines, highlighting cross-country heterogeneity in market responses, while GPR and TPU volatility trigger varied asymmetric effects driven by each nation’s underlying economic fundamentals. In the short run, the Error Correction Term (ECT) is significantly negative across all countries, validating the speed of adjustment toward equilibrium. Furthermore, while local currency depreciation consistently depresses short-term index performance, global oil prices provide a significant positive buffer for the commodity-sensitive markets in the region. These empirical findings emphasize the necessity for regulatory authorities and market participants within ASEAN emerging economies to formulate risk mitigation strategies that are tailored to the non-linear realities of global uncertainty shocks
Keywords: geopolitical risk; trade policy uncertainty; volatility index; structural breaks; asymmetric effects