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Title: | THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESS AND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ON STOCK RETURNS IN EAST ASIAN COUNTRIES |
Authors: | Behera, Chinmaya |
Keywords: | Crude oil; Volatility spillover; Dynamic connectedness; Stock returns; Russian Ukraine war |
Issue Date: | 2023 |
Publisher: | Bulletin of Monetary Economics and Banking |
Abstract: | 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. |
URI: | http://103.65.197.75:8080/jspui/handle/123456789/150 |
ISSN: | 1410 8046, |
Appears in Collections: | Journal Articles |
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