The Role of World Oil Price in the Movements of the Asian Stock Market

Le Thi Minh Huong
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Le Thi Minh Huong: School of Economics, Huazhong University of Science and Technology, Hubei, China

International Journal of Innovation and Economic Development, 2020, vol. 6, issue 2, 7-18

Abstract: This article contributed insight into the cross-border role of oil on Asia’s largest stock markets. The research conducted using VAR, GARCH_BEKK (1,1), and related tests such as stationarity, correlation, and causality tests in the analysis. The results obtained suggest that the time series of data ensure conditions for analysis. Asian stock prices are inversely related to oil prices in a correlation. At the same time, in considered stock markets, the Korean stock market and world oil prices appear to have a causal relationship with each other. Moreover, the tests of profitability and volatility in oil prices also indicate a link with the Korean stock market during the research period.

Keywords: World oil price; Return; Volatility; the Asian stock market; GARCH model (search for similar items in EconPapers)
JEL-codes: M00 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:mgs:ijoied:v:6:y:2020:i:2:p:7-18

DOI: 10.18775/ijied.1849-7551-7020.2015.62.2001

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