Version 1
: Received: 22 May 2024 / Approved: 23 May 2024 / Online: 23 May 2024 (12:13:35 CEST)
How to cite:
Truong, L. D.; Friday, H. S.; Doan, N. T. The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence From Ho Chi Minh Stock Exchange. Preprints2024, 2024051554. https://doi.org/10.20944/preprints202405.1554.v1
Truong, L. D.; Friday, H. S.; Doan, N. T. The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence From Ho Chi Minh Stock Exchange. Preprints 2024, 2024051554. https://doi.org/10.20944/preprints202405.1554.v1
Truong, L. D.; Friday, H. S.; Doan, N. T. The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence From Ho Chi Minh Stock Exchange. Preprints2024, 2024051554. https://doi.org/10.20944/preprints202405.1554.v1
APA Style
Truong, L. D., Friday, H. S., & Doan, N. T. (2024). The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence From Ho Chi Minh Stock Exchange. Preprints. https://doi.org/10.20944/preprints202405.1554.v1
Chicago/Turabian Style
Truong, L. D., H. Swint Friday and Nhien Tuyet Doan. 2024 "The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence From Ho Chi Minh Stock Exchange" Preprints. https://doi.org/10.20944/preprints202405.1554.v1
Abstract
This study is the first to investigate the asymmetric effects of oil price volatility on stock returns for the Ho Chi Minh Stock Exchange (HOSE). We utilized weekly series of VN30-Index, WTI crude oil prices, geopolitical risks (GPR) index and gold prices spanning from 6 February 2012 to 31 December 2023 as data sources. Using a nonlinear Autoregressive Distributed Lag (NARDL) bounds testing approach, we found that in the short-term, oil price volatility has negative asymmetric effects on the market returns. Specifically, in the short-term, a one percent increase in oil price volatility immediately leads to a 2,6868 percent decrease in the market returns while a similar magnitude decrease in oil price volatility is associated with 6.3180 percent increase in the market returns. In addition, the results obtained from the NARDL model indicated that, in the long-term, the negative and positive changes of oil price volatility have significantly negative effects on the market returns. Finally, the findings derived from the error correction model (ECM) show that 98.21 percent of the disequilibria from the previous week are converged and corrected back to the long-term equilibrium in the current week.
Keywords
HOSE; market returns; NARDL; oil price volatility
Subject
Business, Economics and Management, Finance
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.