Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH

Authors

  • Teuku Abdul Khalid Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Sumedang, Indonesia
  • Mohammad Benny Alexandri Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Sumedang, Indonesia
  • Widya Setiabudi Sumadinata Department of Business Administration, Faculty of Social and Political Science, Padjadjaran University, Sumedang, Indonesia
  • Mukhlis Yunus Department of Management, Faculty Economic and Business, Syiah Kuala University, Indonesia

DOI:

https://doi.org/10.32479/ijeep.20584

Keywords:

EGARCH, Volatility Spillover, Oil Prices, ASEAN Stock Markets, Post-COVID-19

Abstract

This paper re-examines the volatility spillover effects between oil prices and stock market returns in ASEAN countries in the post-COVID-19 context. Utilizing daily data from March 2021 to December 2023, the study employs the EGARCH (1,1) model to measure asymmetric volatility transmission across six ASEAN markets—Indonesia, Malaysia, Singapore, Thailand, Vietnam, and the Philippines. The findings indicate significant volatility spillovers, albeit with varying degrees of magnitude and direction compared to the pandemic period. Notably, oil price shocks continue to influence emerging ASEAN markets, reflecting heightened integration with global commodity markets. The results have practical implications for investors and policymakers in managing risk and structuring portfolios during economic normalization.

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Published

2025-10-12

How to Cite

Khalid, T. A., Alexandri, M. B., Sumadinata, W. S., & Yunus, M. (2025). Volatility Spillover between Stock Returns and Oil Prices in ASEAN: A Post-Pandemic Reassessment Using EGARCH. International Journal of Energy Economics and Policy, 15(6), 220–226. https://doi.org/10.32479/ijeep.20584

Issue

Vol. 15 No. 6 (2025)

Section

Articles

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