Uncovering Interdependencies Between Crude Palm Oil Commodity and ASEAN-5 Equity Markets

Yeap, Xiu Wei, Tan, Sook Rei, and Lean, Hooi Hooi (2024) Uncovering Interdependencies Between Crude Palm Oil Commodity and ASEAN-5 Equity Markets. In: Tan, Sook Rei, Jang, Haejin, and Wood, Jacob, (eds.) Economic Growth and Development in the Tropics. Routledge Advances in Business, Industry and Trade in the Tropics . Routledge, London, United Kingdom, pp. 223-249.

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DOI: 10.4324/9781003349204-13

View at Publisher Website: https://doi.org/10.4324/9781003349204-13

Abstract

This chapter investigates the time-varying relationship between the Crude Palm Oil Commodity and ASEAN-5 Equity Markets during the period of 1 June 2007 to 31 May 2023 by examining their returns and volatilities using a novel time-varying parameter vector autoregression-based frequency-connectedness approach. The empirical findings reveal distinct behaviors in return connectedness and volatility connectedness between these markets. Specifically, the return connectedness is primarily driven by shock transmissions in the short run, with the equity markets act as the net transmitter while the crude palm oil market acts as the net receiver in terms of net connectedness. Conversely, volatility connectedness is driven by shock transmissions in the long run, with crude palm oil being the net transmitter of volatility spillover. These results hold significant implications for investors and policymakers concerned with commodity prices, enabling them to better understand the interconnections and potential risks in these markets.


Item ID:	81746
Item Type:	Book Chapter (Research - B1)
ISBN:	9781003349204
Related URLs:	Publisher
Copyright Information:	© 2024 selection and editorial matter, Sook Rei Tan, Haejin Jang and Jacob Wood; individual chapters, the contributors
Date Deposited:	07 Feb 2024 03:02
FoR Codes:	38 ECONOMICS > 3802 Econometrics > 380205 Time-series analysis @ 50% 38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 50%
SEO Codes:	15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150299 Macroeconomics not elsewhere classified @ 100%
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