Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN


Abstract views: 495 / PDF downloads: 555

Authors

DOI:

https://doi.org/10.32479/ijeep.11945

Keywords:

Stock Return, Oil price, Volatility Spillovers, EGARCH Model, Covid-19

Abstract

This study points to increase global monetary integration as a result of rising volatility spillovers. As a result, analyzing volatility spillovers for international areas that expand and improve through the usage of inventory returns and oil prices is critical. The EGARCH model is used to explore the Volatility Spillovers of oil agencies in five ASEAN international areas during the Covid-19 Pandemic. To assess the interrelationships of the ASEAN stock index as well as the path of volatility, data were acquired from five global sites with very large volatility spillovers, namely Indonesia, Malaysia, Singapore, Thailand, and Vietnam. The findings show that this search is critical for ASEAN traders as well as Filipinos. Furthermore, because accurate forecasting of volatility spillover in global equity markets is required to reduce portfolio risk, this search has a substantial and viable significance.

Downloads

Download data is not yet available.

Author Biography

Mohammad Benny Alexandri, Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Indonesia

Lecturer at Business Administration Universitas Padjadjaran Bandung Indonesia

Downloads

Published

2022-01-19

How to Cite

Alexandri, M. B., & Supriyanto, S. (2022). Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN. International Journal of Energy Economics and Policy, 12(1), 126–133. https://doi.org/10.32479/ijeep.11945

Issue

Vol. 12 No. 1 (2022)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.