{"title":"东盟五国股市波动溢出效应:不同油价时代是否会改变格局?","authors":"Dwika Darinda, Fikri C Permana","doi":"10.31685/KEK.V3I2.484","DOIUrl":null,"url":null,"abstract":"The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.","PeriodicalId":426920,"journal":{"name":"Kajian Ekonomi dan Keuangan","volume":"208 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?\",\"authors\":\"Dwika Darinda, Fikri C Permana\",\"doi\":\"10.31685/KEK.V3I2.484\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.\",\"PeriodicalId\":426920,\"journal\":{\"name\":\"Kajian Ekonomi dan Keuangan\",\"volume\":\"208 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-08-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Kajian Ekonomi dan Keuangan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.31685/KEK.V3I2.484\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Kajian Ekonomi dan Keuangan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.31685/KEK.V3I2.484","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?
The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.
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