IDEAS home Printed from https://ideas.repec.org/a/bjw/econen/v15y2025i3p63-76.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3688/2381
    Download Restriction: no

    File URL: https://libkey.io/10.46223/HCMCOUJS.econ.en.15.3.3688.2025?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ASEAN region; Covid-19 pandemic; oil price volatility; Russia - Ukraine war;
    All these keywords.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bjw:econen:v:15:y:2025:i:3:p:63-76. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Vu Tuan Truong (email available below). General contact details of provider: https://journalofscience.ou.edu.vn/index.php/econ-en .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.