Dynamic Spillovers between Crude Oil and ASEAN-6 Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Zishuai Yang 최태영(Tae-Yeong Choi)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.18 No.5, 2381~2392쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2016.10.30

영문 초록

The stock markets in the ASEAN (Association of Southeast Asian Nations) have increasingly matured since early 1990s as they integrated into the global financial markets (Yang, Hamori, 2014). However, most countries in the ASEAN are still emerging markets, implying that their stock markets are more easily affected by changes in oil prices. In this study, we attempt to examine dynamic spillovers between crude oil price, six major ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand, Vietnam), and S&P 500 index. We address the non-synchronous trading problem between the US and the ASEAN stock markets. For empirical methodology, we use the generalized spillover definition and measurement proposed by Diebold, Yilmaz (2012). Under the assumption of time-invariance, we find that 38.8% of forecast error variance on average comes from total return spillovers. When we relax this assumption, we find that the total return spillovers reveal significant time-varying deviations from the average during the global financial market turmoils such as the US credit crisis (2008-2009), the ongoing European debt crisis (2009-to date), and the recent plunging and turbulent oil price (2015-present).

목차

1. Introduction

2. Empirical methodology

3. Data and preliminary analysis

4. Empirical results

5. Conclusions

References

키워드

ASEAN-6 Generalized variance decomposition Spillover index Rolling-sample analysis Non-synchronous trading