รหัสดีโอไอ 10.14456/rjsh.2021.15
Creator Kim-Leng Goh
Title The Effects of Global Commodity Prices on ASEAN-5 Stock Markets
Contributor Kok-Pin Lim, Chin-Sieng Chong
Publisher Rangsit University
Publication Year 2021
Journal Title Rangsit Journal of Social Sciences and Humanities
Journal Vol. 8
Journal No. 2
Page no. 96-108
Keyword Association of Southeast Asian Nations (ASEAN), Commodity market, Stock market, Spillover, Volatility
URL Website https://rjsh.rsu.ac.th/
Website title Rangsit Journal of Social Sciences and Humanities
ISSN 2286-976X
Abstract The increasing participation of investors and financial institutions in the commodity markets to diversify their portfolios led to spillovers from the real to the financial sector. This paper examined the return and volatility spillovers from the world commodity markets to the returns of the ASEAN-5 stock market. The return spillovers from the commodity markets were closely linked to the production economy. Palm oil prices affected the stock market returns of Indonesia and Malaysia. The returns of the rice commodity market were found to affect the stock market of Thailand. However, no spillover effects from rubber were found. On non-agricultural commodities, fuel had the widest return spillover effects. The stock market of Thailand is particularly susceptible to price movements in the gold market. The volatility spillovers were less compared to the return spillovers. The rice market volatility had a negative impact on the stock exchange of Thailand. Gold market volatility was positively related to the stock market returns of Singapore, suggesting gold to be a commodity for hedging against stock market turmoil. However, the stock markets of Malaysia and the Philippines were insulated from these spillovers. Given the connectedness between the commodity and stock markets, any policy designed to advance the financial sector must take cognizance of the development in the world commodity markets. The dynamics between these markets should be considered by the investors for portfolio planning and diversification.
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บรรณานุกรม

Kim-Leng Goh และ Kok-Pin Lim; Chin-Sieng Chong. (2021) The Effects of Global Commodity Prices on ASEAN-5 Stock Markets. Rangsit Journal of Social Sciences and Humanities, 8(2), 96-108.
Kim-Leng Goh และ Kok-Pin Lim; Chin-Sieng Chong. "The Effects of Global Commodity Prices on ASEAN-5 Stock Markets". Rangsit Journal of Social Sciences and Humanities 8 (2021):96-108.
Kim-Leng Goh และ Kok-Pin Lim; Chin-Sieng Chong. The Effects of Global Commodity Prices on ASEAN-5 Stock Markets. Rangsit University:ม.ป.ท. 2021.