Testing Multiple Structural Breaks in the Oil Price–Stock Price Nexus in Asian Oil-Importing Countries During the Russia-Ukraine War

Abstract

This study tests for structural breaks in the oil price–stock price nexus during the Russia-Ukraine War, by focusing on Asian oil-importing countries. We find evidence of structural breaks in these economies. Also, the regression results from the different regimes show that the spillover effects intensify in some countries but decline in others. The results are mixed in some countries and for the panel estimation.