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Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6

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  • Chancharat, Surachai
  • Sinlapates, Parichat

Abstract

This research studies WTI crude oil and stock price dynamics in Australia, China, Indonesia, India, Japan, Korea, Malaysia, New Zealand, the Philippines, Singapore, Thailand, and Vietnam. We investigate data from January 2, 2018, to June 13, 2023 using BEKK- and DCC-GARCH. Crude oil volatility affects ASEAN+6 stock markets. Crude oil volatility spillovers were not statistically significant during pre-COVID-19, COVID-19 outbreak, and Russia-Ukraine war periods. After the crisis, asymmetric volatility remained prominent. The findings suggest that investors diversifying their portfolios should consider dynamic volatility and crude oil-stock price correlations to maximize returns and decrease risk.

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  • Chancharat, Surachai & Sinlapates, Parichat, 2023. "Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006219
    DOI: 10.1016/j.frl.2023.104249
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    More about this item

    Keywords

    Crude oil; Multivariate GARCH; Russia-Ukraine war; Stock price; Volatility spillover;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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