Text
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.
Call Number | Location | Available |
---|---|---|
PSB lt.2 - Karya Akhir (Majalah) | 1 |
Penerbit | Jakarta: Bank Indonesia 2023 |
---|---|
Edisi | Volume 26, 16th BMEB Call for Papers Special Issue |
Subjek | East Asian countries Crude Oil Russian-Ukraine war |
ISBN/ISSN | 2460-9196 |
Klasifikasi | NONE |
Deskripsi Fisik | 148 p. |
Info Detail Spesifik | Bulletin Of Monetary Economics And Banking |
Other Version/Related | Tidak tersedia versi lain |
Lampiran Berkas |