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This study
investigates the effect of economic policy uncertainty (EPU) on stock market
performance in ASEAN-5 countries using Google Trends data from April 2020 to April
2025. The countries include Indonesia, Malaysia, Singapore, the Philippines,
and Thailand. However,
EPU indices are not available for all ASEAN-5 countries, therefore,
this study develops a Google Trends Uncertainty (GTU) index. The index is
constructed from selected keywords drawn from eight economic policy categories
to capture online search behavior related to policy uncertainty. Panel data
regression analysis was used to examine the relationship between weekly stock
returns and GTU index, alongside macroeconomic control variables such as
inflation (CPI), exchange rate, interest rate, and growth
rate of industrial production index. The results show that GTU index has an
insignificant impact on stock returns, implying that markets may not
immediately react to rising uncertainty. However, when introducing a one-period
lag of the GTU index, the relationship becomes positive and significant. This
condition suggests that market responses to uncertainty are often delayed,
highlighting slow information absorption and sentiment-driven reactions. Among
the control variables, exchange rate and growth rate of industrial production index
have significant effects on stock returns, while inflation and interest rates
have insignificant effects. This study contributes to the literature on
financial markets by employing Google Trends data as an alternative information
source for measuring policy uncertainty and highlights the importance of lagged
uncertainty indicators in understanding market behavior, especially in emerging
markets where access to real-time information may be limited. These findings
offer insights for investors, policymakers, and researchers in developing more
responsive models and policy frameworks based on digital signals of
uncertainty.