Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets
Objective: this study aims to examine volatility transmission in ASEAN-5 financial markets during 2019–2023, covering pre-pandemic, pandemic, and post-pandemic phases, to analyze the impact of COVID-19 and other external factors, such as political crises and geopolitical tensions, on these interconn...
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| Format: | Article |
| Language: | English |
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Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
2025-06-01
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| Series: | BAR: Brazilian Administration Review |
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| Online Access: | https://bar.anpad.org.br/index.php/bar/article/view/713 |
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| author | Fajrin Satria Dwi Kesumah Rialdi Azhar |
| author_facet | Fajrin Satria Dwi Kesumah Rialdi Azhar |
| author_sort | Fajrin Satria Dwi Kesumah |
| collection | DOAJ |
| description | Objective: this study aims to examine volatility transmission in ASEAN-5 financial markets during 2019–2023, covering pre-pandemic, pandemic, and post-pandemic phases, to analyze the impact of COVID-19 and other external factors, such as political crises and geopolitical tensions, on these interconnected markets. Methods: using AR-GARCH and VECM models, the study analyzed aggregated stock index data from the five countries, with a focus on volatility spillovers and value at risk (VaR) levels to assess both short- and long-term interdependencies. Results: the findings reveal substantial volatility transmission among ASEAN-5 markets, indicating significant financial interdependencies that heighten regional risk, especially during periods of global disruption. VaR results further suggest that the Indonesian stock market (JKSE) carries a higher risk profile, reflecting the impact of local economic conditions and regional interconnectivity. Conclusions: the study underscores the need for investors to account for volatility transmission in risk management, especially given the COVID-19 pandemic and geopolitical factors. Strong market interconnectivity within the ASEAN-5 may limit the effectiveness of cross-market diversification, highlighting the importance of regional risk mitigation and coordinated policies. |
| format | Article |
| id | doaj-art-752fdfecd2f143d2852b9fe5465291e1 |
| institution | Kabale University |
| issn | 1807-7692 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
| record_format | Article |
| series | BAR: Brazilian Administration Review |
| spelling | doaj-art-752fdfecd2f143d2852b9fe5465291e12025-08-20T03:31:45ZengAssociação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)BAR: Brazilian Administration Review1807-76922025-06-01222e240148e24014810.1590/1807-7692bar2025240148713Volatility Spillover and Risk Measurement of Southeast Asian Financial MarketsFajrin Satria Dwi Kesumah0Rialdi Azhar1Universitas Lampung, Bandar Lampung, Lampung, IndonesiaUniversitas Lampung, Bandar Lampung, Lampung, IndonesiaObjective: this study aims to examine volatility transmission in ASEAN-5 financial markets during 2019–2023, covering pre-pandemic, pandemic, and post-pandemic phases, to analyze the impact of COVID-19 and other external factors, such as political crises and geopolitical tensions, on these interconnected markets. Methods: using AR-GARCH and VECM models, the study analyzed aggregated stock index data from the five countries, with a focus on volatility spillovers and value at risk (VaR) levels to assess both short- and long-term interdependencies. Results: the findings reveal substantial volatility transmission among ASEAN-5 markets, indicating significant financial interdependencies that heighten regional risk, especially during periods of global disruption. VaR results further suggest that the Indonesian stock market (JKSE) carries a higher risk profile, reflecting the impact of local economic conditions and regional interconnectivity. Conclusions: the study underscores the need for investors to account for volatility transmission in risk management, especially given the COVID-19 pandemic and geopolitical factors. Strong market interconnectivity within the ASEAN-5 may limit the effectiveness of cross-market diversification, highlighting the importance of regional risk mitigation and coordinated policies.https://bar.anpad.org.br/index.php/bar/article/view/713volatility spillovervalue at riskgarchasean-5 financial marketrisk measurement |
| spellingShingle | Fajrin Satria Dwi Kesumah Rialdi Azhar Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets BAR: Brazilian Administration Review volatility spillover value at risk garch asean-5 financial market risk measurement |
| title | Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets |
| title_full | Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets |
| title_fullStr | Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets |
| title_full_unstemmed | Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets |
| title_short | Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets |
| title_sort | volatility spillover and risk measurement of southeast asian financial markets |
| topic | volatility spillover value at risk garch asean-5 financial market risk measurement |
| url | https://bar.anpad.org.br/index.php/bar/article/view/713 |
| work_keys_str_mv | AT fajrinsatriadwikesumah volatilityspilloverandriskmeasurementofsoutheastasianfinancialmarkets AT rialdiazhar volatilityspilloverandriskmeasurementofsoutheastasianfinancialmarkets |