 Is ‘oil and gas’ industry of ASEAN5 countries integrated with the US counterpart?Hung Quang Do, Muhammad Bhatti and Muhammad Shahbaz Applied Economics, 2020, vol. 52, issue 37, 4112-4134 Abstract: This paper employs the VARMA-MGARCH-ABEKK model and Granger causality on 15 years’ daily time series data to examine investment opportunities in the oil and gas industries for ASEAN5 countries relative to the US counterpart. It shows that the latter leads the former in decomposing integration into cross-country effects on returns and conditional return volatilities. The empirical results show that investors can gain an international intra-industry diversification benefit in Malaysia, the Philippines, Singapore and Vietnam by holding US oil and gas assets in their portfolios whereas Asian oil and gas assets may result in negative shocks due to the increase in return volatilities for Malaysia, Singapore and Vietnam. However, Thailand are insensitive to the cross-country intra-industry diversification. While making trading decisions, investors should be aware of the impulse responses of ASEAN oil and gas markets from the shocks in the US and the Asian markets and their asymmetric spill over effects. Date: 2020 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:52:y:2020:i:37:p:4112-4134 Ordering information: This journal article can be ordered from DOI: 10.1080/00036846.2020.1731408 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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