The Influence of Trade Policy Uncertainty, U.S. Political Cycles, the CBOE Volatility Index, and Macroeconomic Factors on the Total Return Indices in ASEAN Stock Markets
Keywords:
Trade Policy Uncertainty (TPU) Index, U.S. Political Cycle, VIX Volatility Index, Macroeconomic Factors, Government Bond Yield Spread, Exchange Rate, Gold Prices, Total Return Indices of ASEAN Stock MarketsAbstract
This study aims to examine the impact of the Trade Policy Uncertainty index, the U.S. political cycle, the CBOE volatility index, and macroeconomic factors on the total return indices of stock markets in ASEAN countries, as well as to compare the differences in the effects of these factors across ASEAN stock markets. Secondary data in the form of daily time-series, covering the period from 1 January 2010 to 31 December 2025 with the total of 2,828 observations, are employed in this study. The empirical analysis is conducted by using Multiple Linear Regression, with Newey–West estimator to handle potential heteroskedasticity and autocorrelation. The results indicate that the Trade Policy Uncertainty index and the U.S. political cycle during periods in which the Democratic Party holds office are positively and statistically significant associated with the total return indices of ASEAN stock markets. In contrast, the CBOE volatility index exhibits a negative and statistically significant relationship with those of ASEAN stock markets. According to macroeconomic factors, the yield spread between U.S. government bonds and those of ASEAN countries positively and significantly affects the total return indices of ASEAN stock markets. Conversely, exchange rate depreciation is associated with lower total return indices. However, gold price only significantly influences that of Indonesia. These findings can be utilized to formulate policies in mitigating volatility that arises from external factors as well as to assist investors in effectively developing investment strategies under uncertainty.
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