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.
"THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESS
AND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ON
STOCK RETURNS IN EAST ASIAN COUNTRIES,"
Bulletin of Monetary Economics and Banking: Vol. 26:
0, Article 6.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol26/iss0/6