Asset Details
Do you wish to reserve the book?
Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH
Do you wish to request the book?
Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH
2025
Overview
This paper re-examines the volatility spillover effects between oil prices and stock market returns in ASEAN countries in the post-COVID-19 context. Utilizing daily data from March 2021 to December 2023, the study employs the EGARCH (1,1) model to measure asymmetric volatility transmission across six ASEAN markets—Indonesia, Malaysia, Singapore, Thailand, Vietnam, and the Philippines. The findings indicate significant volatility spillovers, albeit with varying degrees of magnitude and direction compared to the pandemic period. Notably, oil price shocks continue to influence emerging ASEAN markets, reflecting heightened integration with global commodity markets. The results have practical implications for investors and policymakers in managing risk and structuring portfolios during economic normalization.
Publisher
EconJournals
Subject
