Volatility spillover from the global oil price to ASEAN stock markets: A cross-quantilogram analysis

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2022-07-29 DOI:10.21315/aamjaf2022.18.1.9

Mien Nguyen Thi Ngoc

引用次数: 0

Abstract

This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimising their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.

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全球油价波动对东盟股市的溢出效应:交叉量化分析

本文使用Han等人(2016)开发的交叉量化图方法研究了全球油价波动与东盟股票市场指数之间的联系。我们发现，全球石油价格的大幅变化可能导致几乎东盟市场的股指持续而强劲的波动。此外，越南股市对全球油价的微小变化非常敏感，尽管它不会立即做出反应。该研究为投资者优化投资组合提供了强有力的启示。此外，了解全球石油市场对股票市场的风险溢出有助于决策者制定更合适的政策来减少股票波动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets

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