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Pertanika Journal of Social Sciences and Humanities, Volume 26, Issue August, 2018, pp. 251-263

Empirical analysis of oil price volatility and stock returns in ASEAN-5 countries using DCC-GARCH

Abstract :

This paper examines the dynamic correlation between oil volatility and five ASEAN stock markets using the DCC-GARCH approach. The oil volatility index (OVX or CBOE crude oil volatility index) was used and realised variance (RV) derived from WTI (West Texas Intermediate) crude oil prices. The aim was to examine optimal oil volatility measures between these proxies and to investigate the OVX index as a volatility measure for emerging countries. Findings show that both proxies had a negative correlation to these stock markets between 2007 and 2017, with the exception of the Philippines’ stock market. Furthermore, results suggest RV is still a better measure compared with OVX for ASEAN-5 stock markets. © Universiti Putra Malaysia Press.

Keywords : ASEAN-5,Crude oil volatility index,DCC-GARCH,Oil volatility
Subject Area : Arts and Humanities(all) Business, Management and Accounting(all) Economics, Econometrics and Finance(all) Social Sciences(all)

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