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چکیده
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The financial liberalization and opening of economies have increased volatility of international markets, hence has generated increasing interest in the study of market volatility. Meanwhile, in recent years, commodity markets have experienced a rapid growth in liquidity and an influx of investors who are attracted to commodities as investment alternatives and also as a means to support economic activity via the hedging of risks. Since gold and crude oil are the main representatives of the large commodity markets and with the the rising trend of world commodity prices, thus it is of fundamental practical significance to analyze how volatility and shocks are transmitted among these markets. Thus, this study employs the EGARCH and MEGARCH model to examine the spillover effect of oil and gold volatility on ASEAN-5 stock returns volatility over the 2000 to 2013 period. The results show that the impact of oil price on the mean equation of all stock market index are positive and significant; indicating that any increase in the crude oil price will increase the return of market index. However, the estimated values in the variance equation are statistically significant only for the case of Malaysia and Singapore but not for Indonesia, Thailand and Philippines. This finding indicates that one of the channels of stock market fluctuations in Malaysia and Singapore is the volatility of the crude oil price, in which any turbulence in the oil market can affect these two stock markets. In addition, hedging effect does not hold for the case of Malaysia and Singapore with regards to oil price risk. In contrast, for Indonesia, Philippines and Thailand, stock market can provide a good hedge against the oil market fluctuations. In regards to the gold prices, the volatility of the gold market has a significant effect on the volatility of Kuala Lumpur and Singapore stock markets only but not so for the other markets. Therefore, it can be concluded that for the case of Indonesia, Philippi
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