Abstract/Description
The purpose of this research is to assess the impact of Economic Policy Uncertainty (EPU) on the Sectoral returns of China, Pakistan, the USA, the UK, and India. The panel data consisting of EPU, and sectoral returns of Stock Market data of sample countries is from 2012 to 2022. To achieve the research objectives, the wavelet coherence method is used. By applying wavelet coherence analysis to the time series data of economic policy uncertainty and sector returns, researchers can explore how the coherence or correlation between these variables changes over different periods and frequency components which helps in assessing short-, medium-and long-term shifts in the relationship between two variables.
Keywords
Location
MCS-5, AMAN-CED, Second Floor
Session Theme
2C: Insights from Complex Economic Datasets
Session Type
Parallel Technical Session
Session Discussant
Anwar Hussain, University of Swat, Swat
Start Date
17-11-2023 11:50 AM
End Date
17-11-2023 1:20 PM
Recommended Citation
Iqbal, S., Sethar, W., & Sindhiyao, S. (2023). Economic policy uncertainty and stock portfolio optimization: Cross Country Wavelet-Based Approach. CBER Conference. Retrieved from https://ir.iba.edu.pk/esdcber/2023/program/21
Economic policy uncertainty and stock portfolio optimization: Cross Country Wavelet-Based Approach
MCS-5, AMAN-CED, Second Floor
The purpose of this research is to assess the impact of Economic Policy Uncertainty (EPU) on the Sectoral returns of China, Pakistan, the USA, the UK, and India. The panel data consisting of EPU, and sectoral returns of Stock Market data of sample countries is from 2012 to 2022. To achieve the research objectives, the wavelet coherence method is used. By applying wavelet coherence analysis to the time series data of economic policy uncertainty and sector returns, researchers can explore how the coherence or correlation between these variables changes over different periods and frequency components which helps in assessing short-, medium-and long-term shifts in the relationship between two variables.
