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Testing Multiple Structural Breaks in the Oil Price-Stock Price Nexus in Asian Oil-Importing Countries During the Russia-Ukraine War

Author

Listed:
  • Isiaka Akande Raifu
  • Terver Theophilus Kumeka
  • Onyinye Maria David-Wayas

    (Economics, University of Ibadan, Nigeria, 2 Economics, Dominican University, Ibadan, Nigeria)

Abstract

This study tests for structural breaks in the oil price–stock price nexus during the Russia-Ukraine War, by focusing on Asian oil-importing countries. We find evidence of structural breaks in these economies. Also, the regression results from the different regimes show that the spillover effects intensify in some countries but decline in others. The results are mixed in some countries and for the panel estimation.

Suggested Citation

  • Isiaka Akande Raifu & Terver Theophilus Kumeka & Onyinye Maria David-Wayas, 2024. "Testing Multiple Structural Breaks in the Oil Price-Stock Price Nexus in Asian Oil-Importing Countries During the Russia-Ukraine War," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(4), pages 1-8.
    • Handle: RePEc:ayb:jrnael:110
    DOI: 2024/07/08
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    References listed on IDEAS

    as
    1. Christiane Baumeister & Lutz Kilian, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," Journal of Economic Perspectives, American Economic Association, vol. 30(1), pages 139-160, Winter.
    2. Jones, Charles M & Kaul, Gautam, 1996. "Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-491, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Structural breaks; Crude oil price; WTI; Stock prices; Russia-Ukraine war; Asia;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N4 - Economic History - - Government, War, Law, International Relations, and Regulation
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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