Contemporaneous and lagged connectedness among international categorical economic policy uncertainty and ASEAN-5 stock markets: Do policy uncertainty sources and determinants matter?

Abstract

We explore the spillover among ASEAN-5 stock markets (Malaysia, Singapore, Thailand, the Philippines, and Indonesia) and the categorical economic policy uncertainty (EPU) of three major economies (China, Japan, and the United States), employing an R2 decomposed connectivity approach. Our empirical findings depict significant connectedness among ASEAN-5 stock markets and the categorical EPUs of three major economies, where instantaneous temporal spillovers are greater than lagged spillovers. We find that most categorical EPUs are shock receivers, whereas the ASEAN-5 stock markets are shock transmitters. Chinese monetary and exchange rate policy uncertainties, along with Japanese fiscal policy uncertainty, act as net shock transmitters. However, the roles of categorical EPUs and ASEAN-5 stock markets vary across total, contemporaneous, and lagged transmissions. We also find that the GFC, the Euro debt crisis, the U.S.‒China trade war, COVID-19, and the Russia–Ukraine conflict caused dynamic fluctuations in shock transmission. We also show that oil price changes, global financial stress, climate change, and gold market ups and downs are key factors that link economic policy uncertainties and the ASEAN-5 markets in different time frames. Hence, our empirical results provide valuable insights for managing risks and formulating strategies for addressing economic policy uncertainty and world crisis events. © The Author(s) 2026.