This study was conducted on the basis that there is an inconsistency in the study results on the effects of world oil price change on stock market return. This study, therefore, examined the effects of world oil price changes on the stock market returns in Southeast Asia including Indonesia...

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns in Southeast Asia. Using the latest econometric techniques and a high-frequency dataset, we construct two high-frequency betas associated with intraday continuous and...

Purpose – This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach – The analysis uses a vector autoregression with a bivariate...