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

IF 2.5 Q2 ECONOMICS
Thi Minh Huong Le, Thi Nga My Nguyen, Thi Yen Vinh Tran
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引用次数: 0

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.

Abstract Image

油价波动对美国和亚太股市的溢出效应:多元 EGARCH 分析
本研究利用多元 EGARCH 模型研究了 2000 年至 2022 年期间石油和股票价格之间的溢出效应。数据库包括三个时期--整个样本时期、大流行前时期和 COVID-19 时期。分析揭示了溢出效应的动态变化。研究结果揭示了溢出效应的不对称性,从石油到股票的负面影响趋势普遍存在,特别是对泰国指数产生负面影响,而对印尼市场产生正面影响。考虑到整个时间段,研究结果探讨了石油对 11 个国家的 8 个股票指数的动态溢出效应。同时,在没有发生大流行病的情况下,石油和股票市场之间仅在五个股票市场存在相互关系。在 COVID-19 期间,我们看到石油价格对股票的溢出效应加剧,只有越南股市未受影响。值得注意的是,整体溢出水平在 2018 年达到 55% 的峰值,在 COVID-19 大流行期间下降到 45% 以上,表明石油和股票之间的关系密切。其他结果证实了收益数据序列的静态性,并支持多变量 EGARCH 模型的应用,增强了研究的稳健性,有助于理解金融市场错综复杂的动态变化。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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