Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN

• Published in: International journal of energy economics and policy Vol. 12; no. 1; pp. 126 - 133
• Main Authors: Alexandri, Mohammad Benny, Supriyanto, Supriyanto
• Format: Journal Article
• Language: English
• Published: Mersin EconJournals 2022
• Subjects: Capital markets; Coronaviruses; COVID-19; Disease transmission; EGARCH Model; Energy economics; Insurance policies; International finance; Inventory; Liberalization; Macroeconomics; Oil price; Pandemics; Prices; Return on investment; Securities markets; Stock exchanges; Stock Return; Volatility; Volatility Spillovers
• ISSN: 2146-4553; 2146-4553
• DOI: 10.32479/ijeep.11945

This study points to increase global monetary integration as a result of rising volatility spillovers. As a result, analyzing volatility spillovers for international areas that expand and improve through the usage of inventory returns and oil prices is critical. The EGARCH model is used to explore the Volatility Spillovers of oil agencies in five ASEAN international areas during the Covid-19 Pandemic. To assess the interrelationships of the ASEAN stock index as well as the path of volatility, data were acquired from five global sites with very large volatility spillovers, namely Indonesia, Malaysia, Singapore, Thailand, and Vietnam. The findings show that this search is critical for ASEAN traders as well as Filipinos. Furthermore, because accurate forecasting of volatility spillover in global equity markets is required to reduce portfolio risk, this search has a substantial and viable significance.