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The Crude Oil Price–Stock Return Connectedness And The Impact Of The Russian-Ukraine War On Stock Returns In East Asian Countries
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.
Ketersediaan
| 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 |