Impacts of the US and China Macroeconomic Indicator Announcements on Cambodia Stock Market

Abstract

This study investigates the impacts of five macroeconomic indicator announcements from the Unit States and China on the volatility of Cambodia Securities Exchange (CSX) index during the period of 2016 to 2021. Generally, it is a well-known fact that a country’s macroeconomic announcement could potentially affect the stock return volatility of another; however, despite decades of research, new small emerging countries remain untouched, unexplored, and may contain new knowledge to learn from. To investigate this subject, E-GARCH model was used as a method to analyze the behavior of volatility of the index upon the releases of selected five unexpected macroeconomic indicator announcements by both the US and China. The findings suggest that CPI, GDP, IP, and BOT announcements released by the US were found to have the greatest influence on the volatility of Cambodia stock index. In comparison, the index reacted only to the announcements related to China’s IP, PMI, and BOT. The contrasting outcomes behavior could be explained by the two countries’ trading relationship with Cambodia, prior research, and issues surrounding the release of China’s macroeconomic announcement.