Oil price risk in selected ASEAN markets

QR Code

Oil price risk in selected ASEAN markets

This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear measures of oil prices are used and robustness check of basic results is also performed. The resu...

Full description

Bibliographic Details
Main Author:	Mansor H. Ibrahim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/7803/ http://journalarticle.ukm.my/7803/1/00000002.PDF

Similar Items

An Investigation Of The Oil Price Risk Factor And Macroeconomics Variables In The Asean Stock Market
by: Ansarifar, Alireza
Published: (2009)

Oil Price Risk and Stock Markets
by: NIU, HUI
Published: (2012)

Financial Integration And International Asset Pricing Of Asean-5 Stock Markets: The Pricing Of Global, Regional And Currency Risk
by: Janor, Hawati
Published: (2009)

The natural consumption rubber production, and price analysis in selected Asean countries and world market
by: Fong, Yi Chiun
Published: (2020)

The impact of oil price volatility on stock market returns: evidence from ASEAN countries
by: Seah, Jiang Ghee
Published: (2019)

Price relations between Malaysia rice sector and selected ASEAN countries
by: Daniel, Mirimo, et al.
Published: (2018)

Impact of selected Asean countries' price policy on the Malaysian rice industry
by: Daniel, Mirimo
Published: (2015)

Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries
by: Prabu, Darniya
Published: (2019)

Analysis of oil price effect on economic growth of ASEAN net oil exporters
by: Karunanithi, Kriskkumar, et al.
Published: (2019)

Forecasting model of crude oil price instability in asean-5 countries
by: Chin, Jia Hui
Published: (2023)

Short-horizon asymmetry in conditional mean of ASEAN stock market returns
by: Ibrahim, Mansor
Published: (2010)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Price transmission in selected Malaysian fruits markets
by: Mohamed Arshad, Fatimah, et al.
Published: (2014)

The relationship among oil prices, terms of trade and economic growth in ASEAN-5
by: Ngu,, Fui Tin
Published: (2010)

Asset Pricing and the Foreign Exchange Risk in the Polish Market
by: Xing, Jingjing
Published: (2012)

On the implied market price of risk under the stochastic numéraire
by: Dokuchaev, Nikolai
Published: (2018)

Price Linkages within Selected Vegetable Markets in Malaysia
by: Mohamed, Zainal Abidin, et al.
Published: (1996)

Cointegration between palm oil price and soybean oil price: A study on market integration
by: Mohammad Haji Alias ,, et al.
Published: (1998)

Disaggregated consumer prices and oil prices pass-through: evidence from Malaysia
by: Ibrahim, Mansor, et al.
Published: (2011)

Disaggregated consumer prices and oil price pass‐through: evidence from Malaysia
by: Ibrahim, Mansor, et al.
Published: (2012)

Oil Price Fluctuations and Stock Price Volatility in Southeast Asian Stock Markets
by: Ng, Yuen Yein
Published: (2015)

Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
by: Tan, Chin Sin
Published: (2003)

Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand
by: Tan, Chin Sin
Published: (2003)

Causality among selected oils and fats prices
by: Mohd. Arshad, Fatimah, et al.
Published: (1988)

Pricing and Causality Among Selected Fats and Oils
by: Mohd. Arshad, Fatimah, et al.
Published: (1993)

Shrimp trade competitiveness of Malaysia and selected ASEAN countries
by: Ismail, Mohd Mansor, et al.
Published: (2013)

Does oil price matter for the Malaysian stock market?
by: Bani, Yasmin, et al.
Published: (2019)

Volatility co-movement of Asean-5 equity markets
by: Lau, Evan, et al.
Published: (2010)

Rearward visibility technology in ASEAN market
by: Meor Said, Mior A, et al.
Published: (2019)

Role of oil prices in financial instability, trade openness and economic growth: evidence from Asean countries
by: Maikudi Muhammad,, et al.
Published: (2023)

The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN - 4 countries during pre- and post - global financial crisis
by: Razmi, Fatemeh, et al.
Published: (2016)

Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence
by: Ibrahim, Mansor, et al.
Published: (2013)

Financial Markets’ Reaction and World Crude Oil Price Shocks
by: Teoh, Hooi Khim
Published: (2005)

Price dependency and spillover effects in global crude oil markets
by: Zhang, Han
Published: (2017)

Contagious Effects Of Oil Prices On Asian Stock Markets’ Behaviour
by: Jok-Tong, Wan, et al.
Published: (2016)

The effect of oil price fluctuations on the Malaysian and Indonesian stock markets
by: Abdul Hadi, Abdul Razak, et al.
Published: (2009)

Do structural oil-market shocks affect stock prices?
by: Apergis, Nicholas, et al.
Published: (2009)

Mutual fund characteristics, risk governance and fund performance in Asean market: a conceptual framework
by: Shari, Aminah, et al.
Published: (2019)

Relationship between Crude Palm Oil (CPO) Futures prices and Selected Southeast Asia Equity Market-Empirical Evidence
by: Siaw, Louis Kai Ying
Published: (2015)

Determinants of IPO pricing in Emerging markets and the Risks faced by companies that go public
by: salie, mohamed abid
Published: (2013)