{"title":"Volatility spillover from the global oil price to ASEAN stock markets: A cross-quantilogram analysis","authors":"Mien Nguyen Thi Ngoc","doi":"10.21315/aamjaf2022.18.1.9","DOIUrl":null,"url":null,"abstract":"This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimising their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Academy of Management Journal of Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21315/aamjaf2022.18.1.9","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimising their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.
期刊介绍：
To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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