Information transmission between energy commodities and emerging Asian stock markets during crises: an analysis of oil importing countries

IF 3.3 Q2 BUSINESS

Asia-Pacific Journal of Business Administration Pub Date : 2022-09-29 DOI:10.1108/apjba-02-2022-0061

Maria Babar, H. Ahmad, I. Yousaf

引用次数: 5

Abstract

PurposeThis study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).Design/methodology/approachThe information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.FindingsA Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.Practical implicationsThe findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.Originality/valueAll data is original.

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危机期间能源大宗商品与新兴亚洲股市之间的信息传递:对石油进口国的分析

目的本研究考察了能源商品（原油、天然气、布伦特原油、取暖油、天然气和汽油）与作为能源净进口国的亚洲股市（中国、印度、印度尼西亚、马来西亚、韩国、巴基斯坦、菲律宾、台湾、泰国）之间的信息传递（回报和波动溢出）使用Diebold和Yilmaz的溢出指数，使用2000年1月至2021年5月期间的每日数据。发现两类资产之间有很强的联系，特别是在危机时期。我们的研究结果表明，除天然气和天然气外，大多数能源市场都是信息的净传递者，而除印度尼西亚和韩国外，所有股票市场都是净接受者。实际含义研究结果有助于投资组合经理和机构投资者在危机时期将资金分配到不同的资产类别。原创性/价值所有数据都是原创的。

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

Asia-Pacific Journal of Business Administration BUSINESS-

CiteScore

7.20

自引率

13.20%

发文量

期刊介绍： The Asia Pacific Journal of Business Administration (APJBA) publishes original research on: Business Strategy and Policy, Accounting and Board Governance, Marketing and People Management, and Operations and Supply Chain Management. The journal welcomes practical and skill-based submissions in these areas. There is particular interest in submissions regarding: Sustainable Business Practices, Quality Management Practices, Innovation and Creativity in Management, as well as Managing a Learning Organisation. The Asia Pacific region is full of collaborations between government, NGOs and private enterprise. Submissions are welcome which contribute to our understanding of partnerships and the cross-cultural issues. Research methods vary, and the journal is interested in the full diverse of qualitative (case and action research, etc) as well as quantitative survey studies and their recommendations. The APJBA seeks to become a forum for both established scholars and early career researchers in all aspects of management and business in the Asia-Pacific region. Emphasis is on rigour and relevance, on theory and practice, in a globalised scholarly environment.