Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war
This study investigates the trilateral relationship among the stock, oil, and foreign exchange markets across nine ASEAN countries from January 2019 to February 2023. The sample is divided into three periods: before and after the announcement of Covid-19 and the period of the Russia - Ukraine war. T...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE
2025-01-01
|
| Series: | Ho Chi Minh City Open University Journal of Science - Economics and Business Administration |
| Subjects: | |
| Online Access: | https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3688 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849309963663441920 |
|---|---|
| author | Nhung Thi Hong Vu Phuc Thien Nguyen |
| author_facet | Nhung Thi Hong Vu Phuc Thien Nguyen |
| author_sort | Nhung Thi Hong Vu |
| collection | DOAJ |
| description | This study investigates the trilateral relationship among the stock, oil, and foreign exchange markets across nine ASEAN countries from January 2019 to February 2023. The sample is divided into three periods: before and after the announcement of Covid-19 and the period of the Russia - Ukraine war. The analysis is conducted through various techniques, including Granger causality testing, impulse response function, and forecast error variance decomposition. The results are consistent with various panel analysis techniques. The findings show the independence of these three variables before the pandemic and during the Russia - Ukraine war. Yet after the pandemic, shocks in oil and foreign exchange markets significantly cause stock market volatility. Additionally, oil price fluctuation appears to have a more profound impact on stock returns than changes in exchange rates. These results suggest diversification opportunities for investors to neighbouring areas beyond China, the study of oil price risk management before making investments in oil-related businesses, and the need for policymakers to monitor exchange rates to mitigate the effect on the stock market. |
| format | Article |
| id | doaj-art-9bf0990c8d0840eeab78f0ef779dc065 |
| institution | Kabale University |
| issn | 2734-9314 2734-9586 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE |
| record_format | Article |
| series | Ho Chi Minh City Open University Journal of Science - Economics and Business Administration |
| spelling | doaj-art-9bf0990c8d0840eeab78f0ef779dc0652025-08-20T03:53:56ZengHO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCEHo Chi Minh City Open University Journal of Science - Economics and Business Administration2734-93142734-95862025-01-01153637610.46223/HCMCOUJS.econ.en.15.3.3688.20252358Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine warNhung Thi Hong Vu0Phuc Thien Nguyen1Eastern International University, Binh DuongEastern International University, Binh DuongThis study investigates the trilateral relationship among the stock, oil, and foreign exchange markets across nine ASEAN countries from January 2019 to February 2023. The sample is divided into three periods: before and after the announcement of Covid-19 and the period of the Russia - Ukraine war. The analysis is conducted through various techniques, including Granger causality testing, impulse response function, and forecast error variance decomposition. The results are consistent with various panel analysis techniques. The findings show the independence of these three variables before the pandemic and during the Russia - Ukraine war. Yet after the pandemic, shocks in oil and foreign exchange markets significantly cause stock market volatility. Additionally, oil price fluctuation appears to have a more profound impact on stock returns than changes in exchange rates. These results suggest diversification opportunities for investors to neighbouring areas beyond China, the study of oil price risk management before making investments in oil-related businesses, and the need for policymakers to monitor exchange rates to mitigate the effect on the stock market.https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3688asean regioncovid-19 pandemicoil price volatilityrussia - ukraine war |
| spellingShingle | Nhung Thi Hong Vu Phuc Thien Nguyen Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war Ho Chi Minh City Open University Journal of Science - Economics and Business Administration asean region covid-19 pandemic oil price volatility russia - ukraine war |
| title | Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war |
| title_full | Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war |
| title_fullStr | Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war |
| title_full_unstemmed | Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war |
| title_short | Oil, stock, and foreign exchange markets in ASEAN countries: Evidence in Covid-19 pandemic and Russia - Ukraine war |
| title_sort | oil stock and foreign exchange markets in asean countries evidence in covid 19 pandemic and russia ukraine war |
| topic | asean region covid-19 pandemic oil price volatility russia - ukraine war |
| url | https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3688 |
| work_keys_str_mv | AT nhungthihongvu oilstockandforeignexchangemarketsinaseancountriesevidenceincovid19pandemicandrussiaukrainewar AT phucthiennguyen oilstockandforeignexchangemarketsinaseancountriesevidenceincovid19pandemicandrussiaukrainewar |