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

Author

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  • Le Thi Minh Huong

    (School of Economics, Huazhong University of Science and Technology, Hubei, China
    Faculty of Economics, Danang Architecture University, Danang, Vietnam)

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.

Suggested Citation

  • Le Thi Minh Huong, 2020. "The Role of World Oil Price in the Movements of the Asian Stock Market," International Journal of Innovation and Economic Development, Inovatus Services Ltd., vol. 6(2), pages 7-18, June.
    • Handle: 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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    References listed on IDEAS

    as
    1. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
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    3. Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
    4. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    5. Fayyad, Abdallah & Daly, Kevin, 2011. "The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA," Emerging Markets Review, Elsevier, vol. 12(1), pages 61-78, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    World oil price; Return; Volatility; the Asian stock market; GARCH model;
    All these keywords.

    JEL classification:

    • M00 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General - - - General

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