Oil price shocks and energy stock returns of ASEAN-5 countries: evidence from Ready’s (2018) decomposition technique in a markov regime switching framework
The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in a Markov Regime Switching framework. The approach solves certain shortcomings of the novel procedure from Kilian by incorporating daily forward-looking prices of...
Main Authors: | Adilah Azhari, Mukhriz Izraf Azman Aziz, Yong, Kang Cheah, Hazrul Shahiri |
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Format: | Article |
Language: | English |
Published: |
Penerbit Universiti Kebangsaan Malaysia
2021
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Online Access: | http://journalarticle.ukm.my/17186/1/24.pdf |
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