Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war

Nhung Thi Hong Vu and Phuc Thien Nguyen
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Nhung Thi Hong Vu: Eastern International University, Binh Duong, Vietnam
Phuc Thien Nguyen: Eastern International University, Binh Duong, Vietnam

HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, 2025, vol. 15, issue 3, 63-76

Abstract: This study investigates the trilateral relationship among the stock, oil, and foreign exchange markets across nine ASEAN countries from January 2019 to February 2023. The sample is divided into three periods: before and after the announcement of Covid-19 and the period of the Russia - Ukraine war. The analysis is conducted through various techniques, including Granger causality testing, impulse response function, and forecast error variance decomposition. The results are consistent with various panel analysis techniques. The findings show the independence of these three variables before the pandemic and during the Russia - Ukraine war. Yet after the pandemic, shocks in oil and foreign exchange markets significantly cause stock market volatility. Additionally, oil price fluctuation appears to have a more profound impact on stock returns than changes in exchange rates. These results suggest diversification opportunities for investors to neighbouring areas beyond China, the study of oil price risk management before making investments in oil-related businesses, and the need for policymakers to monitor exchange rates to mitigate the effect on the stock market.

Keywords: ASEAN region; Covid-19 pandemic; oil price volatility; Russia - Ukraine war (search for similar items in EconPapers)
JEL-codes: F31 G11 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:bjw:econen:v:15:y:2025:i:3:p:63-76

DOI: 10.46223/HCMCOUJS.econ.en.15.3.3688.2025

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