IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v52y2020i37p4112-4134.html
   My bibliography  Save this article

Is ‘oil and gas’ industry of ASEAN5 countries integrated with the US counterpart?

Author

Listed:
  • Hung Quang Do
  • M. Ishaq Bhatti
  • Muhammad Shahbaz

Abstract

This paper employs the VARMA-MGARCH-ABEKK model and Granger causality on 15 years’ daily time series data to examine investment opportunities in the oil and gas industries for ASEAN5 countries relative to the US counterpart. It shows that the latter leads the former in decomposing integration into cross-country effects on returns and conditional return volatilities. The empirical results show that investors can gain an international intra-industry diversification benefit in Malaysia, the Philippines, Singapore and Vietnam by holding US oil and gas assets in their portfolios whereas Asian oil and gas assets may result in negative shocks due to the increase in return volatilities for Malaysia, Singapore and Vietnam. However, Thailand are insensitive to the cross-country intra-industry diversification. While making trading decisions, investors should be aware of the impulse responses of ASEAN oil and gas markets from the shocks in the US and the Asian markets and their asymmetric spill over effects.

Suggested Citation

  • Hung Quang Do & M. Ishaq Bhatti & Muhammad Shahbaz, 2020. "Is ‘oil and gas’ industry of ASEAN5 countries integrated with the US counterpart?," Applied Economics, Taylor & Francis Journals, vol. 52(37), pages 4112-4134, July.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:37:p:4112-4134
    DOI: 10.1080/00036846.2020.1731408
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2020.1731408
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2020.1731408?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nguyen, Huu Manh & Bakry, Walid & Vuong, Thi Huong Giang, 2023. "COVID-19 pandemic and herd behavior: Evidence from a frontier market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    2. Rangan Gupta & Christian Pierdzioch & Wing-Keung Wong, 2021. "A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Energies, MDPI, vol. 14(20), pages 1-12, October.

    More about this item

    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:taf:applec:v:52:y:2020:i:37:p:4112-4134. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    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.