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    The Spillover Effects of Global Economic Policy Uncertainty (GEPU) on Emerging Equity Markets: Evidence from Thailand 

    Asma Mora; Yuthana Sethapramote (NIDA, 8/9/19)

              This paper examines the spillover effects of Global Economic Policy Uncertainty (GEPU) index and other global risk factors, i.e. CBOE Volatility Index (VIX index), oil prices and gold prices, on the Stock Exchange of Thailand (SET). The empirical results show that both GEPU and VIX indices has significant impacts on the returns of stock market in Thailand before 2010. After 2010, the effects of GEPU on the stock return are not statistically significant. However, the VIX index still significantly affect on the return and volatility of ...