THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESSAND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ONSTOCK RETURNS IN EAST ASIAN COUNTRIES

Authors

Chinmaya Behera, Goa Institute of Management, India.Follow

Document Type

Article

Abstract

We contribute to the literature by investigating the connectedness between crude oil prices and stock returns and the impact of the Russia-Ukraine war on stock returns in selected East Asia countries. Using the TVP-VAR model, we find that, on average, 42.52% of shocks to an asset spill over to all other assets, whereas, on average, 57.48% of the shocks affect the asset itself. We also find that the major transmitters of shocks are the Singapore Exchange (SGX) and the Korea Exchange (KRX); they transmit at least 54% of shocks. Using the GARCH model augmented with a war dummy, we find that the recent Russia- Ukraine war has significantly impacted the Indonesian stock market.

Recommended Citation

Behera, Chinmaya (2023) "THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESSAND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ONSTOCK RETURNS IN EAST ASIAN COUNTRIES," Bulletin of Monetary Economics and Banking: Vol. 26: No. 0, Article 6.
DOI: https://doi.org/10.59091/1410-8046.2058
Available at: https://bulletin.bmeb-bi.org/bmeb/vol26/iss0/6

First Page

97

Last Page

110

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

India

Affiliation

Goa Institute of Management