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The Crude Oil Price–Stock Return Connectedness And The Impact Of The Russian-Ukraine War On Stock Returns In East Asian Countries

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  • Chinmaya Behera

    (Goa Institute of Management)

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.

Suggested Citation

  • Chinmaya Behera, 2023. "The Crude Oil Price–Stock Return Connectedness And The Impact Of The Russian-Ukraine War On Stock Returns In East Asian Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(Special I), pages 97-110, February.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:spg:p:97-110
    DOI: https://doi.org/10.59091/1410-8046.2058
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    Keywords

    Crude oil; Volatility spillover; Dynamic connectedness; Stock returns; Russian-Ukraine war.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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