Phân tích biến động giá và rủi ro của thị trường chứng khoán ASEAN-6: Bằng chứng thực nghiệm trước và trong thời kỳ covid-19
Nội dung chính của bài viết
Tóm tắt
Mục đích nghiên cứu sự biến động giá và rủi ro của thị trường chứng khoán ASEAN-6 (Indonesia, Malaysia, Philippines, Singapore, Thái Lan và Việt Nam) trước và trong giai đoạn Covid-19. Dữ liệu nghiên cứu từ 2010 đến 2021. Để thực hiện mục tiêu nghiên cứu, mô hình đa biến EGARCH được phát triển bởi Koutmos và Booth (1995) được áp dụng. Kết quả cho thấy, tác động lan tỏa về giá và rủi ro của sáu thị trường tài chính có khác biệt trước và trong giai đoạn Covid-19. Trước Covid-19, tồn tại mối quan hệ hai chiều về giá trên các thị trường chứng khoán Indonesia, Philippines và Singapore. Hơn nữa, Thái Lan lan tỏa rủi ro đến Indonesia, Philippines, Singapore và Việt Nam trong giai đoạn Covid-19. Kết quả đạt được đáng tin cậy và là kênh thông tin có giá trị cho các nhà đầu tư về đa dạng hóa danh mục đầu tư, cũng như cho các nhà làm chính sách nhằm phát triển ổn định thị trường.
Chi tiết bài viết
Từ khóa
ASEAN, Covid-19, EGARCH, Rủi ro, Thị trường chứng khoán
Tài liệu tham khảo
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Albulescu, C. (2020). Do Covid-19 and crude oil prices drive the US economic policy uncertainty?. arXiv preprint arXiv:2003.07591. https://doi.org/10.48550/arXiv.2003.07591
Ali, R., Mangla, I. U., Rehman, R. U., Xue, W., Naseem, M. A., & Ahmad, M. I. (2020). Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach. Risks, 8(3), 1-16.
Arisandhi, V. D. & Robiyanto, R. (2022). Exchange rate, gold price, and stock price correlation in asean-5: evidence from covid-19 era. Jurnal Manajemen dan Kewirausahaan, 24(1), 22-32.
Ashraf, B. N. (2020). Stock markets’ reaction to Covid-19: Cases or fatalities?. Research in International Business and Finance, 54, 101249
Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and the world. Journal of Medical Virology, 92(5), 473-475.
Bae, K. H. & Zhang, X. (2015). The cost of stock market integration in emerging markets. Asia‐ Pacific Journal of Financial Studies, 44(1), 1-23.
Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from Covid-19 in China. Finance research letters, 38, 101716.
Baharumshah, A. Z. & Wooi, H. C. (2007). Exchange rate volatility and the Asian financial crisis: Evidence from South Korea and ASEAN-5. Review of Pacific Basin Financial Markets and Policies, 10(02), 237-264.
Bajo-Rubio, O. Berke, B. & McMillan, D. (2017). The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. Research in International Business and Finance, 41, 577-589.
Bhar, R. & Nikolova, B. (2009). Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework. Global finance journal, 19(3), 203-218.
Boonyakunakorn, P. Pastpipatkul, P. & Sriboonchitta, S. (2019). Value at Risk of the Stock Market in ASEAN-5. In International Econometric Conference of Vietnam pp. 452-462. Springer, Cham.
Bui Quang, P. Klein, T. Nguyen, N. H. & Walther, T. (2018). Value-at-risk for south-east asian stock markets: Stochastic volatility vs. GARCH. Journal of Risk and Financial Management, 11(2), 1-20.
Cảnh, N. P. Quyền, P. G. & Duyên, H. T. M. (2016). Tác động lan tỏa từ thị trường chứng khoán Trung Quốc đến thị trường chứng khoán các quốc gia Đông Nam Á. Tạp chí Quản lý Kinh tế Quốc tế, 84. https://tapchi.ftu.edu.vn
Cheema, M. A. Faff, R. W. & Szulczuk, K. (2020). The 2008 global financial crisis and Covid-19 pandemic: How safe are the safe haven assets?. Available at SSRN 3590015.
Darinda, D. & Permana, F. C. (2019). Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?. Kajian Ekonomi dan Keuangan, 3(2), 116-134.
Dias, R. Pardal, P. Teixeira, N. & Machová, V. (2020). Financial market integration of ASEAN-5 with China. Littera Scripta, 13(1), 46-63.
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Gormsen, N. J. & Koijen, R. S. (2020). Coronavirus: Impact on stock prices and growth expectations. The Review of Asset Pricing Studies, 10(4), 574-597.
Hamao, Y. Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307.
He, Q. Liu, J. Wang, S. & Yu, J. (2020). The impact of Covid-19 on stock markets. Economic and Political Studies, 8(3), 275-288.
Hung, N. T. (2021). Volatility behaviour of the foreign exchange rate and transmission among Central and Eastern European countries: evidence from the EGARCH model. Global Business Review, 22(1), 36-56.
Hung, N. T. (2020). Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?”. Acta Oeconomica, 70(3), 449-468.
Jakpar, S. Vejayon, V. Johari, A. & Myint, K. (2013). An econometric analysis on the co- movement of stock market volatility between China and ASEAN-5. International Journal of Business and Social Science, 2(14), 181-197.
Jane, T. D. & Ding, C. G. (2009). On the multivariate EGARCH model. Applied Economics Letters, 16(17), 1757-1761.
Jang, H. & Sul, W. (2002). The Asian financial crisis and the co-movement of Asian stock markets. Journal of Asian Economics, 13(1), 94-104.
Jaroenwiriyakul, S. & Setthapramote, Y. S. (2017). The Influence of Market, Interest Rate, Exchange Rate Risks on Bank Stock Returns in ASEAN-5. Veridian E-Journal, Silpakorn University (Humanities, Social Sciences and arts), 10(5), 425-440.
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Jebran, K. & Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. Financial Innovation, 2(1), 1-20.
Jin, X. & An, X. (2016). Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. Research in International Business and Finance, 36, 179-195.
Kamaludin, K. Sundarasen, S. & Ibrahim, I. (2021). Covid-19, Dow Jones and equity market movement in ASEAN-5 countries: evidence from wavelet analyses. Heliyon, 7(1), e05851.
Kang, S. H. Uddin, G. S. Troster, V. & Yoon, S. M. (2019). Directional spillover effects between ASEAN and world stock markets. Journal of Multinational Financial Management, 52, 100592.
Karim, B. A. & Karim, Z. A. (2012). Integration of ASEAN-5 stock markets: A revisit. Asian Academy of Management Journal of Accounting & Finance, 8(2), 21-41.
Karunanayake, I. Valadkhani, A. & O'brien, M. (2010). Financial crises and international stock market volatility transmission. Australian Economic Papers, 49(3), 209-221.
Koutmos, G. & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of international Money and Finance, 14(6), 747-762.
Li, Y. M. & Bai, L. R. (2021). A Study of the Co-movement and Spillover Effects of Stock Markets Among China and ASEAN-5 Countries. In 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) (pp. 976-981). Atlantis Press.
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Lim, C. M. & Sek, S. K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
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Mishra, A. K. Swain, N. & Malhotra, D. K. (2007). Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence. International Journal of Business, 12(3), 343-360.
Narayan, P. K. Devpura, N. & Wang, H. (2020). Japanese currency and stock market—What happened during the Covid-19 pandemic?. Economic Analysis and Policy, 68, 191-198.
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Robiyanto, R. (2018). The dynamic correlation between ASEAN-5 stock markets and world oil prices. Jurnal Keuangan dan Perbankan, 22(2), 198-210.
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Arisandhi, V. D. & Robiyanto, R. (2022). Exchange rate, gold price, and stock price correlation in asean-5: evidence from covid-19 era. Jurnal Manajemen dan Kewirausahaan, 24(1), 22-32.
Ashraf, B. N. (2020). Stock markets’ reaction to Covid-19: Cases or fatalities?. Research in International Business and Finance, 54, 101249
Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and the world. Journal of Medical Virology, 92(5), 473-475.
Bae, K. H. & Zhang, X. (2015). The cost of stock market integration in emerging markets. Asia‐ Pacific Journal of Financial Studies, 44(1), 1-23.
Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from Covid-19 in China. Finance research letters, 38, 101716.
Baharumshah, A. Z. & Wooi, H. C. (2007). Exchange rate volatility and the Asian financial crisis: Evidence from South Korea and ASEAN-5. Review of Pacific Basin Financial Markets and Policies, 10(02), 237-264.
Bajo-Rubio, O. Berke, B. & McMillan, D. (2017). The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. Research in International Business and Finance, 41, 577-589.
Bhar, R. & Nikolova, B. (2009). Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework. Global finance journal, 19(3), 203-218.
Boonyakunakorn, P. Pastpipatkul, P. & Sriboonchitta, S. (2019). Value at Risk of the Stock Market in ASEAN-5. In International Econometric Conference of Vietnam pp. 452-462. Springer, Cham.
Bui Quang, P. Klein, T. Nguyen, N. H. & Walther, T. (2018). Value-at-risk for south-east asian stock markets: Stochastic volatility vs. GARCH. Journal of Risk and Financial Management, 11(2), 1-20.
Cảnh, N. P. Quyền, P. G. & Duyên, H. T. M. (2016). Tác động lan tỏa từ thị trường chứng khoán Trung Quốc đến thị trường chứng khoán các quốc gia Đông Nam Á. Tạp chí Quản lý Kinh tế Quốc tế, 84. https://tapchi.ftu.edu.vn
Cheema, M. A. Faff, R. W. & Szulczuk, K. (2020). The 2008 global financial crisis and Covid-19 pandemic: How safe are the safe haven assets?. Available at SSRN 3590015.
Darinda, D. & Permana, F. C. (2019). Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?. Kajian Ekonomi dan Keuangan, 3(2), 116-134.
Dias, R. Pardal, P. Teixeira, N. & Machová, V. (2020). Financial market integration of ASEAN-5 with China. Littera Scripta, 13(1), 46-63.
Diebold, F. X. & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.
Diebold, F. X. & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
Engle, R. F. & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
Gormsen, N. J. & Koijen, R. S. (2020). Coronavirus: Impact on stock prices and growth expectations. The Review of Asset Pricing Studies, 10(4), 574-597.
Hamao, Y. Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307.
He, Q. Liu, J. Wang, S. & Yu, J. (2020). The impact of Covid-19 on stock markets. Economic and Political Studies, 8(3), 275-288.
Hung, N. T. (2021). Volatility behaviour of the foreign exchange rate and transmission among Central and Eastern European countries: evidence from the EGARCH model. Global Business Review, 22(1), 36-56.
Hung, N. T. (2020). Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?”. Acta Oeconomica, 70(3), 449-468.
Jakpar, S. Vejayon, V. Johari, A. & Myint, K. (2013). An econometric analysis on the co- movement of stock market volatility between China and ASEAN-5. International Journal of Business and Social Science, 2(14), 181-197.
Jane, T. D. & Ding, C. G. (2009). On the multivariate EGARCH model. Applied Economics Letters, 16(17), 1757-1761.
Jang, H. & Sul, W. (2002). The Asian financial crisis and the co-movement of Asian stock markets. Journal of Asian Economics, 13(1), 94-104.
Jaroenwiriyakul, S. & Setthapramote, Y. S. (2017). The Influence of Market, Interest Rate, Exchange Rate Risks on Bank Stock Returns in ASEAN-5. Veridian E-Journal, Silpakorn University (Humanities, Social Sciences and arts), 10(5), 425-440.
Jebran, K., Chen, S. Ullah, I. & Mirza, S. S. (2017). Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia. The Journal of Finance and Data Science, 3(1-4), 20-30.
Jebran, K. & Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. Financial Innovation, 2(1), 1-20.
Jin, X. & An, X. (2016). Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. Research in International Business and Finance, 36, 179-195.
Kamaludin, K. Sundarasen, S. & Ibrahim, I. (2021). Covid-19, Dow Jones and equity market movement in ASEAN-5 countries: evidence from wavelet analyses. Heliyon, 7(1), e05851.
Kang, S. H. Uddin, G. S. Troster, V. & Yoon, S. M. (2019). Directional spillover effects between ASEAN and world stock markets. Journal of Multinational Financial Management, 52, 100592.
Karim, B. A. & Karim, Z. A. (2012). Integration of ASEAN-5 stock markets: A revisit. Asian Academy of Management Journal of Accounting & Finance, 8(2), 21-41.
Karunanayake, I. Valadkhani, A. & O'brien, M. (2010). Financial crises and international stock market volatility transmission. Australian Economic Papers, 49(3), 209-221.
Koutmos, G. & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of international Money and Finance, 14(6), 747-762.
Li, Y. M. & Bai, L. R. (2021). A Study of the Co-movement and Spillover Effects of Stock Markets Among China and ASEAN-5 Countries. In 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) (pp. 976-981). Atlantis Press.
Liu, Y., Wei, Y., Wang, Q., & Liu, Y. (2022). International stock market risk contagion during the Covid-19 pandemic. Finance Research Letters, 45, 102145.
Liang, C. C., Lin, J. B., & Hsu, H. C. (2013). Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach. Economic Modelling, 32, 560-563.
Lim, C. M. & Sek, S. K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance, 5, 478-487.
Maghyereh, A. I. Awartani, B. & Al Hilu, K. (2015). Dynamic transmissions between the US and equity markets in the MENA countries: new evidence from pre-and post-global financial crisis. The Quarterly Review of Economics and Finance, 56, 123-138.
Bin Mat Yusoff, M. Y. (2021). Covid-19 Pandemic Outbreak: The Asean-5 Stock Market Short-Term And Long-Term Responses. Review of International Geographical Education Online, 11(8), 1033-1046.
Mishra, A. K. Swain, N. & Malhotra, D. K. (2007). Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence. International Journal of Business, 12(3), 343-360.
Narayan, P. K. Devpura, N. & Wang, H. (2020). Japanese currency and stock market—What happened during the Covid-19 pandemic?. Economic Analysis and Policy, 68, 191-198.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370.
Nikmanesh, L. (2016). Trade openness and stock market volatility in the ASEAN-5 countries: New evidence using SUR. Investment Analysts Journal, 45(3), 194-211.
Okicic, J. (2014). Empirical analysis of stock returns and volatility: a case of stock markets from the central and eastern europe. The South East European Journal of Economics and Business, 9(1), 7-15.
Ozili, P. K. & Arun, T. (2020). Spillover of Covid-19: impact on the Global Economy. Available at SSRN 3562570.
Panjaitan, Y. & Novel, R. (2021). Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19. Jurnal Keuangan dan Perbankan, 25(2), 342-354.
Panjaitan, Y. & Saadah, S. (2018). Volatility spillover analysis post implementation of AEC 2015 agreement: Empirical study on ASEAN-5 stock market. International Journal of Financial Research, 9(2), 105-111.
Patev, P. Kanaryan, N. & Lyroudi, K. (2006). Stock market crises and portfolio diversification in Central and Eastern Europe. Managerial Finance, 2(5), 415-432
Patra, S. & Panda, P. (2021). Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework. International Journal of Finance & Economics, 26(1), 493-514.
Purbasari, I. (2019). Volatility Spillover Effects from The US and Japan to the ASEAN-5 Markets and Among the ASEAN-5 Markets. Sains: Jurnal Manajemen dan Bisnis, 11(2), 293-331.
Phuan, S. M., Lim, K. P., & Ooi, A. Y. (2009). Financial liberalization and stock markets integration for ASEAN-5 countries. International Business Research, 2(1), 100-111.
Robiyanto, R. (2018). The dynamic correlation between ASEAN-5 stock markets and world oil prices. Jurnal Keuangan dan Perbankan, 22(2), 198-210.
Sadiq, M. Hsu, C. C. Zhang, Y. & Chien, F. (2021). Covid-19 fear and volatility index movements: empirical insights from ASEAN stock markets. Environmental Science and Pollution Research, 28(47), 67167-67184.
Sharma, S. S. (2021). A note on the Asian market volatility during the Covid-19 pandemic. Asian Economics Letters, 1(2), 1-6.
Shi, Y. Ahmed, K. & Paramati, S. R. (2021). Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality. International Journal of Finance & Economics, 26(1), 560-572
Silva, R. Dias, R. Heliodoro, P. & Alexandre, P. (2020). Risk diversification in asean-5 financial markets: an empirical analysis in the context of the global pandemic (covid-19). In 6th international scientific-business conference leadership, innovation, management and economics: integrated politics of research. 15-26. https://doi.org/10.31410/LIMEN.S.P.2020.15
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