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

Mohammad Benny Alexandri and Supriyanto
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Mohammad Benny Alexandri: Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Sumedang, Indonesia,
Supriyanto: Phd Student of Administration Science, Padjadjaran University, Sumedang, Indonesia.

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 1, 126-133

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.

Keywords: Stock Return; Oil Price; Volatility Spillovers; EGARCH Model; Covid-19 (search for similar items in EconPapers)
JEL-codes: E44 G11 Q4 Q47 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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