VOLATILITY SPILLOVER FROM THE GLOBAL OIL PRICE TO ASEAN STOCK MARKETS: A CROSS-QUANTILOGRAM ANALYSIS

Abstract

This paper investigates the link between the volatility of global oil prices and ASEAN stock market indices using the cross-quantilogram approach developed by Han et al. (2016). We find that a large and medium change in the global oil prices could result in persistent and robust volatility in the stock index of almost ASEAN markets. Moreover, Vietnam is a unique stock market sensitive to the slight change in global oil price, although it is not an instant response. This study offers strong implications for investors in optimizing their portfolios. Besides, understanding the risk spillover from the global oil market to the stock market helps policymakers enact more appropriate policies to reduce equity volatility.