Oil price shocks and energy stock returns of ASEAN-5 countries: evidence from Ready’s (2018) decomposition technique in a markov regime switching framework

• Main Authors: Adilah Azhari,, Mukhriz Izraf Azman Aziz,, Yong, Kang Cheah, Hazrul Shahiri,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2021
• Online Access: http://journalarticle.ukm.my/17186/1/24.pdf; http://journalarticle.ukm.my/17186/; https://www.ukm.my/jsm/malay_journals/jilid50bil4_2021/KandunganJilid50Bil4_2021.html

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...