Work

Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH

Year: 2025

Type: article

Abstract: This paper re-examines the volatility spillover effects between oil prices and stock market returns in ASEAN countries in the post-COVID-19 context. Utilizing daily data from March 2021 to December 2023, the study employs the EGARCH (1,1) model to measure asymmetric volatility transmission across six ASEAN markets—Indonesia, Malaysia, Singapore, Thailand, Vietnam, and the Philippines. The findings indicate significant volatility spillovers, albeit with varying degrees of magnitude and direction compared to the pandemic period. Notably, oil price shocks continue to influence emerging ASEAN markets, reflecting heightened integration with global commodity markets. The results have practical implications for investors and policymakers in managing risk and structuring portfolios during economic normalization.

Source: International Journal of Energy Economics and Policy

DOI: 10.32479/ijeep.20584

Authors: Teuku Abdul Khalid, Mohammad Benny Alexandri, Widya Setiabudi Sumadinata, Mukhlis Yunus

Institutions: Padjadjaran University, Universitas Syiah Kuala

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $590

Funders: Kementerian Energi Dan Sumber Daya Mineral, Universitas Padjadjaran, Universitas Syiah Kuala