Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6

Abstract

This research studies WTI crude oil and stock price dynamics in Australia, China, Indonesia, India, Japan, Korea, Malaysia, New Zealand, the Philippines, Singapore, Thailand, and Vietnam. We investigate data from January 2, 2018, to June 13, 2023 using BEKK- and DCC-GARCH. Crude oil volatility affects ASEAN+6 stock markets. Crude oil volatility spillovers were not statistically significant during pre-COVID-19, COVID-19 outbreak, and Russia-Ukraine war periods. After the crisis, asymmetric volatility remained prominent. The findings suggest that investors diversifying their portfolios should consider dynamic volatility and crude oil-stock price correlations to maximize returns and decrease risk.