NSU Research Contributions

Title : Impact of Financial and Energy market Uncertainties on ASEAN-5 Markets

Authors : Gour Gobinda Goswami, Muhammad Yahya, Mahnaz Aftabi Atique, Gazi Salah Uddin

Abstract : This study investigates the interdependence dynamics between global uncertainty indices and ASEAN-5 equity markets. Utilizing the CBOE Volatility Index (VIX) and Oil Volatility Index (OVX) as barometers for global and oil market uncertainty respectively, we examine connectedness with five major Southeast Asian economies - Malaysia, Indonesia, Singapore, Thailand and Philippines. Applying time-varying copula frameworks, we model nonlinear dependencies and tail risks. The copula models are complemented by risk metrics like Value-at-Risk and Conditional Value-at-Risk to quantify downside vulnerabilities. Preliminary findings reveal ASEAN-5's pronounced susceptibility to adverse global uncertainty shocks, especially during turbulent periods. Singapore and Thailand exhibit greater sensitivity to oil volatility shifts. Moreover, we uncover asymmetric tail dependencies, with negative VIX shocks demonstrating stronger contagion potential compared to positive shocks of equal magnitude. The Delta CoVaR results highlight ASEAN-5's amplified systemic risks when global volatility is already elevated. The study provides a comprehensive perspective on ASEAN-5's systemic risk exposures, highlighting the necessity for uncertainty transmission monitoring and tailored policy responses to mitigate regional contagion.

Journal : Eurasian Economic Review	Volume :	Year : 2025	Issue :
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