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Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN

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  • Mohammad Benny Alexandri

    (Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Sumedang, Indonesia,)

  • Supriyanto

    (Phd Student of Administration Science, Padjadjaran University, Sumedang, Indonesia.)

Abstract

This study points to increase global monetary integration as a result of rising volatility spillovers. As a result, analyzing volatility spillovers for international areas that expand and improve through the usage of inventory returns and oil prices is critical. The EGARCH model is used to explore the Volatility Spillovers of oil agencies in five ASEAN international areas during the Covid-19 Pandemic. To assess the interrelationships of the ASEAN stock index as well as the path of volatility, data were acquired from five global sites with very large volatility spillovers, namely Indonesia, Malaysia, Singapore, Thailand, and Vietnam. The findings show that this search is critical for ASEAN traders as well as Filipinos. Furthermore, because accurate forecasting of volatility spillover in global equity markets is required to reduce portfolio risk, this search has a substantial and viable significance.

Suggested Citation

  • Mohammad Benny Alexandri & Supriyanto, 2022. "Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 126-133.
    • Handle: RePEc:eco:journ2:2022-01-16
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    References listed on IDEAS

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    Cited by:

    1. Suripto Suripto & Dedy Hermawan & Putri Irmal Sari & Ahmad Rifai, 2022. "Impact of Green Management and Earning Management of Energy Companies in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 192-196, May.
    2. Supriyanto, 2022. "The Effect of Investment Risk, Macroeconomics on Stock Prices in IPO Companies during the Covid-19 Pandemic," GATR Journals afr209, Global Academy of Training and Research (GATR) Enterprise.

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    More about this item

    Keywords

    Stock Return; Oil Price; Volatility Spillovers; EGARCH Model; Covid-19;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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