THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESS AND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ON STOCK RETURNS IN EAST ASIAN COUNTRIES

Chinmaya Behera ()
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Chinmaya Behera: Goa Institute of Management

Bulletin of Monetary Economics and Banking, 2023, vol. 26, issue Special Issue, 97-110

Abstract: We contribute to the literature by investigating the connectedness between crude oil prices and stock returns and the impact of the Russia-Ukraine war on stock returns in selected East Asia countries. Using the TVP-VAR model, we find that, on average, 42.52% of shocks to an asset spill over to all other assets, whereas, on average, 57.48% of the shocks affect the asset itself. We also find that the major transmitters of shocks are the Singapore Exchange (SGX) and the Korea Exchange (KRX); they transmit at least 54% of shocks. Using the GARCH model augmented with a war dummy, we find that the recent Russia- Ukraine war has significantly impacted the Indonesian stock market.

Keywords: Crude oil; Volatility spillover; Dynamic connectedness; Stock returns; Russian-Ukraine war. (search for similar items in EconPapers)
JEL-codes: G11 G15 G18 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:26:y:2023:i:spg:p:97-110

DOI: 10.59091/1410-8046.2058

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