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DC Field | Value | Language |
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dc.contributor.author | Behera, Chinmaya | - |
dc.date.accessioned | 2024-08-16T10:26:38Z | - |
dc.date.available | 2024-08-16T10:26:38Z | - |
dc.date.issued | 2023 | - |
dc.identifier.issn | 1410 8046, | - |
dc.identifier.other | https://doi.org/10.21098/bemp.v26i0.2455 | - |
dc.identifier.uri | http://103.65.197.75:8080/jspui/handle/123456789/150 | - |
dc.description.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. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | Bulletin of Monetary Economics and Banking | en_US |
dc.subject | Crude oil; Volatility spillover; Dynamic connectedness; Stock returns; Russian Ukraine war | en_US |
dc.title | THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESS AND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ON STOCK RETURNS IN EAST ASIAN COUNTRIES | en_US |
dc.type | Article | en_US |
Appears in Collections: | Journal Articles |
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16thbmebpublication.pdf Restricted Access | 788.09 kB | Adobe PDF | View/Open Request a copy |
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