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Spillover Effects of Oil Price Fluctuations on the U.S and Asia–Pacific Stock Markets: A Multivariate EGARCH Analysis

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Listed:
  • Thi Minh Huong Le

    (Huazhong University of Science and Technology
    Da Nang Architecture University)

  • Thi Nga My Nguyen

    (Da Nang Architecture University)

  • Thi Yen Vinh Tran

    (Da Nang Architecture University)

Abstract

This study investigates the spillover effects between oil and stock prices from 2000 to 2022, utilizing the multivariate EGARCH model. The database includes three periods—the entire sample, the pre-pandemic era, and COVID-19. The analysis unveils insights into the dynamics of spillover effects. Findings reveal an asymmetry in spillover effects, with a prevailing negative impact trend from oil to stocks, notably affecting the Thai index negatively while positively impacting the Indonesian market. Considering the entire time frame, results address the dynamic spillover effects of oil on eight stock indices across 11 countries under analysis. Meanwhile, in the absence of a pandemic, there are only mutual relationships between oil and stock markets in five stock markets. During COVID-19, we witnessed an intensified spillover effect from oil prices to stocks, with only the Vietnamese stock market remaining unaffected. Notably, the overall spillover level peaked at 55% in 2018, decreasing to over 45% during the COVID-19 pandemic, indicating a close relationship between oil and stocks. Additional results confirm the stationarity of return data series and support the application of the multivariate EGARCH model, enhancing the study’s robustness and contributing to understanding the intricate dynamics of financial markets.

Suggested Citation

  • Thi Minh Huong Le & Thi Nga My Nguyen & Thi Yen Vinh Tran, 2025. "Spillover Effects of Oil Price Fluctuations on the U.S and Asia–Pacific Stock Markets: A Multivariate EGARCH Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(3), pages 1049-1076, September.
    • Handle: RePEc:kap:apfinm:v:32:y:2025:i:3:d:10.1007_s10690-024-09480-9
    DOI: 10.1007/s10690-024-09480-9
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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