This article examines the impacts of the geopolitical risk, global economic policy uncertainty, and oil price shocks on stock prices in Malaysia using factor augmented SVAR approach. The findings show that while geopolitical risk has no significant direct impacts on the overall stock market, its indirect impacts are significant and transmitted through the global economic policy uncertainty and oil shocks channels. Global economic policy uncertainty exerts negative effects on the overall stock market and its impacts are magnified by geopolitical risk. Oil related shocks exhibit asymmetric effects on both the aggregated and sectoral stock price. The impacts of oil demand shock on stock price are amplified by global economic uncertainty factor whereas oil supply shocks impacts are amplified by the geopolitical risk factor. At sectoral level, the impacts of all the global shocks vary across different sectors and time. The overall findings imply that global economic policy uncertainty and oil demand shock factors are systematic risk factors that can be employed to forecast stock market returns. The findings also provide implications for policymakers to regulate markets in maintaining financial stability and investors to react to future shocks in these global economic factors with regard to the risks and opportunities.

This paper evaluates the investment performance of Malaysian-based international equity funds. The results on the overall fund performance using Jensen's (1968) model indicate that, on average, international funds have significant negative risk-adjusted returns over the study period from 2008-2010. Since the model ignores market timing activity, it implicitly attributes the overall negative return to manager's poor stock selection ability. However, the performance breakdown results on managerial expertise using the models of Treynor and Mazuy (1966) and Henriksson and Merton (1981) show evidence of positive selectivity and negative market timing returns. Taken together, the highly significant negative timing returns suggest that, on average, international fund managers have perverse market timing ability. The paper finds little evidence that Malaysian investors achieve diversification benefits from investing in overseas equity markets.