Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries
This study examines the dynamic relationship between oil price volatility and stock market performance in the ASEAN-5 countries (Malaysia, Indonesia, Singapore, Thailand and Philippines). The study is extended to examine individual oil-exporting and oil-importing country’s reaction towards the volat...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2019
|
| Online Access: | https://eprints.nottingham.ac.uk/57258/ |
| _version_ | 1848799458485075968 |
|---|---|
| author | Prabu, Darniya |
| author_facet | Prabu, Darniya |
| author_sort | Prabu, Darniya |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study examines the dynamic relationship between oil price volatility and stock market performance in the ASEAN-5 countries (Malaysia, Indonesia, Singapore, Thailand and Philippines). The study is extended to examine individual oil-exporting and oil-importing country’s reaction towards the volatility of oil prices. A balanced panel data is constructed for the five countries using monthly data from September 1999 to May 2018 where the WTI and Brent Crude oil prices were used as a proxy for world oil prices. The findings suggested that there exists a dynamic relationship between the volatility of WTI and Brent Crude oil prices and the stock market performance of the ASEAN-5 countries. The stock market returns of the oil-exporting countries are affected by the change in WTI prices whereas there is no relationship found between the stock market of the oil-importing countries and oil price volatility. These findings are supported by the stock valuation channel, fiscal channel and output channel which summarizes that there is a relationship between oil prices and stock market performance. By examining this linkage, some policy implications that can be utilised as guiding tools to the government and investors are provided. |
| first_indexed | 2025-11-14T20:35:59Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-57258 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:35:59Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-572582020-05-07T10:32:47Z https://eprints.nottingham.ac.uk/57258/ Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries Prabu, Darniya This study examines the dynamic relationship between oil price volatility and stock market performance in the ASEAN-5 countries (Malaysia, Indonesia, Singapore, Thailand and Philippines). The study is extended to examine individual oil-exporting and oil-importing country’s reaction towards the volatility of oil prices. A balanced panel data is constructed for the five countries using monthly data from September 1999 to May 2018 where the WTI and Brent Crude oil prices were used as a proxy for world oil prices. The findings suggested that there exists a dynamic relationship between the volatility of WTI and Brent Crude oil prices and the stock market performance of the ASEAN-5 countries. The stock market returns of the oil-exporting countries are affected by the change in WTI prices whereas there is no relationship found between the stock market of the oil-importing countries and oil price volatility. These findings are supported by the stock valuation channel, fiscal channel and output channel which summarizes that there is a relationship between oil prices and stock market performance. By examining this linkage, some policy implications that can be utilised as guiding tools to the government and investors are provided. 2019-02-23 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/57258/1/Darniya%20Prabu.pdf Prabu, Darniya (2019) Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries. [Dissertation (University of Nottingham only)] |
| spellingShingle | Prabu, Darniya Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title | Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title_full | Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title_fullStr | Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title_full_unstemmed | Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title_short | Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries |
| title_sort | dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the asean-5 countries |
| url | https://eprints.nottingham.ac.uk/57258/ |