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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

Chinmaya Behera - ;

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 NumberLocationAvailable
PSB lt.2 - Karya Akhir (Majalah)1
PenerbitJakarta: Bank Indonesia 2023
EdisiVolume 26, 16th BMEB Call for Papers Special Issue
SubjekEast Asian countries
Crude Oil
Russian-Ukraine war
ISBN/ISSN2460-9196
KlasifikasiNONE
Deskripsi Fisik148 p.
Info Detail SpesifikBulletin Of Monetary Economics And Banking
Other Version/RelatedTidak tersedia versi lain
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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

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