Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN

Alexandri, Mohammad Benny; Supriyanto, Supriyanto

doi:10.32479/ijeep.11945

Cited by 4 publications

(4 citation statements)

References 24 publications

(28 reference statements)

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“…Research interest on the impact of the coronavirus pandemic on both the broadly understood financial markets and the oil market has been strong over the last 2 years. Studies focused primarily on the impact of the pandemic on stock prices and stock indices (Al-Awadhi et al, 2020;Ali et al, 2020;Nadeem, 2022;Baig et al, 2021;Akbulaev et al, 2022;Alexandri et al, 2022) On the other hand, fewer studies analyzed the impact of COVID-19 on the commodity derivatives market, which is important from the perspective of companies bearing the risk of oil price changes. It is also worth emphasizing that with the rapid development of the commodity derivatives market, the relationships between the commodities market and other markets become more and more complex, thus constituting a significant source of risk that cannot be ignored in the economic system (Chen et al, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Łamasz

Michalski

Puka

2023

IJEEP

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The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the costs and effectiveness of using options on WTI oil from before and after the pandemic. The analyzes took into account the value of option premiums and final results obtained by buyers of call options from March 1, 2018 to April 14, 2022. The results showed that buyers of call options during the pandemic, despite paying much higher option premiums, experienced significantly higher payouts and rates of return. They were the highest for options with the longest expiry periods of 21-30 days. Research also showed that during the pandemic, options with strike prices set at a level higher than the price of oil on the contract date had particularly high rates of return, while the highest payout values were achieved by buyers of call options with low strike prices.

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Section: Literature Reviewmentioning

confidence: 99%

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Łamasz

Michalski

Puka

2023

IJEEP

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“…EM is an associate accounting policy selcted by managers to win bound goals, personal interests, and company performance. It conjointly prevents managers from violating the contract defaults that can affect them and the organization (Murniati et al, 2019, Santos-Jaén et al, 2021, Redaputri et al, 2021, and Alexandri and Supriyanto, 2022.…”

Section: Emmentioning

confidence: 99%

“…Therefore, macro conditions or oil prices are related to the practices. The study by You et al (2018), Riduwan and Andajani (2019), Mela andPutra (2020), Supriyanto et al (2021a), Alexandri and Supriyanto (2022), Sugiyanto and Febrianti (2021), Shafie et al (2021), and Ye et al (2022) showed that Indonesian oil and fuel companies manage their revenues in an inverse connection.…”

Section: Introductionmentioning

confidence: 99%

Impact of Green Management and Earning Management of Energy Companies in Indonesia

Suripto

Hermawan

Sari

et al. 2022

IJEEP

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This study examines the effect of green management on earnings management in energy companies in Indonesia. The green management variable is proxied by environmental management, environmental performance, and environmental environment by using secondary data. The data used in this study is a regression panel data analysis for the 2015-2019 period. This study finds that green management does not have an impact on earnings management, but the size of the company that determines earnings management. The implication is that energy companies in Indonesia that implement green management do not determine companies to practice earnings management. On the other hand, the practice of earnings management is determined by the size of the company. Large companies tend to practice earnings management in providing financial statement information. Simultaneously, the green management variable and the size of the company together determine the company's earnings management practices in energy companies in Indonesia.

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“…Based on Jimenez et al (2021), the effect of the health index as a variable indicator of response shows that countries with good health conditions will have less impact on the fall in the stock price index during the health crisis caused by COVID-19. Components affecting the charge of return should be considered by financial experts and potential monetary experts (Alexandri & Supriyanto, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Increasing Daily Case COVID-19 as Moderating Variable on Coal Stock Price

Dewi

Yolanda

2021

IJIEEM

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Stock investments in the time of the COVID-19 pandemic have a considerable risk. This happens because of the increasingly uncontrolled movement of stock prices. The potential for steep charts can occur at any time. Sentiment analysis of increasing daily cases of COVID-19 was analyzed to see how much effect it has on stock price movements. This research will analyze stock prices from coal commodities in Indonesia. Researchers choose to discuss coal commodities because, in April 2021, there was a significant increase and highest in November 2021. Because of the data, researchers want to see the influence of some coal companies using selling price data with moderating variables for estimating the stock price. There are 26 coal companies that are listed on Indonesia Stock Exchange. The analysis will be a check on five companies that have the largest investors. The analysis is also carried out on coal sales price movements. Furthermore, five different coal mining companies were analyzed based on the rate of price changes to new selling prices with variable moderation in Indonesia. Increasing daily cases of COVID-19 being variable moderation. The method used for finding the relationship is a linear regression with a moderating variable. According to the analysis, the increasing daily case of COVID-19 as a moderating variable is enough to affect the relationship between the selling price of coal and the stock price of HRUM.JK and PTBA.JK. In stock price HRUM.JK, there is an increasing adjusted R square from 0.5254 to 0.5451. The same conditions apply to PTBA.JK has increased by 0.4040 to 0.4444.

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Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN

Cited by 4 publications

References 24 publications

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Impact of Green Management and Earning Management of Energy Companies in Indonesia

The Effect of Increasing Daily Case COVID-19 as Moderating Variable on Coal Stock Price

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