Oil price shocks and energy stock returns of ASEAN-5 countries: evidence from Ready’s (2018) decomposition technique in a markov regime switching framework

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Oil price shocks and energy stock returns of ASEAN-5 countries: evidence from Ready’s (2018) decomposition technique in a markov regime switching framework

The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in a Markov Regime Switching framework. The approach solves certain shortcomings of the novel procedure from Kilian by incorporating daily forward-looking prices of...

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Bibliographic Details
Main Authors:	Adilah Azhari, Mukhriz Izraf Azman Aziz, Yong, Kang Cheah, Hazrul Shahiri
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2021
Online Access:	http://journalarticle.ukm.my/17186/ http://journalarticle.ukm.my/17186/1/24.pdf

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