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

Author

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  • Nhung Thi Hong Vu

    (Eastern International University, Binh Duong, Vietnam)

  • Phuc Thien Nguyen

    (Eastern International University, Binh Duong, Vietnam)

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.

Suggested Citation

  • Nhung Thi Hong Vu & Phuc Thien Nguyen, 2025. "Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 15(3), pages 63-76.
    • Handle: 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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    References listed on IDEAS

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    1. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
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    3. Petre Prisecaru & Paul Calanter, 2022. "Intensification of the Prices Volatility for Oil and Natural Gas," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, vol. 10(2), pages 46-52, December.
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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