{"title":"Information transmission between energy commodities and emerging Asian stock markets during crises: an analysis of oil importing countries","authors":"Maria Babar, H. Ahmad, I. Yousaf","doi":"10.1108/apjba-02-2022-0061","DOIUrl":null,"url":null,"abstract":"PurposeThis study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).Design/methodology/approachThe information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.FindingsA Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.Practical implicationsThe findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.Originality/valueAll data is original.","PeriodicalId":45401,"journal":{"name":"Asia-Pacific Journal of Business Administration","volume":null,"pages":null},"PeriodicalIF":3.3000,"publicationDate":"2022-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Journal of Business Administration","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/apjba-02-2022-0061","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS","Score":null,"Total":0}
引用次数: 5
Abstract
PurposeThis study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).Design/methodology/approachThe information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.FindingsA Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.Practical implicationsThe findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.Originality/valueAll data is original.
期刊介绍：
The Asia Pacific Journal of Business Administration (APJBA) publishes original research on: Business Strategy and Policy, Accounting and Board Governance, Marketing and People Management, and Operations and Supply Chain Management. The journal welcomes practical and skill-based submissions in these areas. There is particular interest in submissions regarding: Sustainable Business Practices, Quality Management Practices, Innovation and Creativity in Management, as well as Managing a Learning Organisation. The Asia Pacific region is full of collaborations between government, NGOs and private enterprise. Submissions are welcome which contribute to our understanding of partnerships and the cross-cultural issues. Research methods vary, and the journal is interested in the full diverse of qualitative (case and action research, etc) as well as quantitative survey studies and their recommendations. The APJBA seeks to become a forum for both established scholars and early career researchers in all aspects of management and business in the Asia-Pacific region. Emphasis is on rigour and relevance, on theory and practice, in a globalised scholarly environment.
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