Oil price risk in selected ASEAN markets

Oil price risk in selected ASEAN markets

This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear measures of oil prices are used and robustness check of basic results is also performed. The resu...

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Main Author: Mansor H. Ibrahim
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:http://journalarticle.ukm.my/7803/
http://journalarticle.ukm.my/7803/1/00000002.PDF
id ukm-7803
recordtype eprints
spelling ukm-78032016-12-14T06:45:15Z http://journalarticle.ukm.my/7803/ Oil price risk in selected ASEAN markets Mansor H. Ibrahim, This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear measures of oil prices are used and robustness check of basic results is also performed. The results suggest a direct relation between oil price changes and stock market returns and indicate no evidence for asymmetric oil price risk for Indonesia. Meanwhile, the asymmetric oil price risk seems apparent for the markets of Malaysia, Singapore and Thailand. For an oil exporting Malaysia, the oil price decline tends to compromise its market performance while the oil price increase does not seem to be beneficial. In contrast, for oil-importing Singapore and Thailand, the oil price shocks tend to adversely affect their market returns. The contrasting experiences of these markets in the face of oil price fluctuations are attributed to the degree of oil dependency, level of financial development, and trade openness. Penerbit Universiti Kebangsaan Malaysia 2014 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7803/1/00000002.PDF Mansor H. Ibrahim, (2014) Oil price risk in selected ASEAN markets. Journal of Finance & Financial Services, 1 (1). pp. 31-44. ISSN 2289-6597
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
language English
description This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear measures of oil prices are used and robustness check of basic results is also performed. The results suggest a direct relation between oil price changes and stock market returns and indicate no evidence for asymmetric oil price risk for Indonesia. Meanwhile, the asymmetric oil price risk seems apparent for the markets of Malaysia, Singapore and Thailand. For an oil exporting Malaysia, the oil price decline tends to compromise its market performance while the oil price increase does not seem to be beneficial. In contrast, for oil-importing Singapore and Thailand, the oil price shocks tend to adversely affect their market returns. The contrasting experiences of these markets in the face of oil price fluctuations are attributed to the degree of oil dependency, level of financial development, and trade openness.
format Article
author Mansor H. Ibrahim,
spellingShingle Mansor H. Ibrahim,
Oil price risk in selected ASEAN markets
author_facet Mansor H. Ibrahim,
author_sort Mansor H. Ibrahim,
title Oil price risk in selected ASEAN markets
title_short Oil price risk in selected ASEAN markets
title_full Oil price risk in selected ASEAN markets
title_fullStr Oil price risk in selected ASEAN markets
title_full_unstemmed Oil price risk in selected ASEAN markets
title_sort oil price risk in selected asean markets
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2014
url http://journalarticle.ukm.my/7803/
http://journalarticle.ukm.my/7803/1/00000002.PDF
first_indexed 2023-09-18T19:50:39Z
last_indexed 2023-09-18T19:50:39Z
_version_ 1777406196646412288

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