Mohammad Enamul Hoque, Tahmina Akhter, Faik Bilgili, Md. Akther Uddin, Samiha Binte Tariq
This study investigates the connectedness among oil market shocks, global economic conditions, and financial stress in South Asian and Southeast Asian countries. This study utilises a time-frequency domain technique and employs monthly data spanning from Jan-1997 to Jan-2022. This research also explores the influence of global uncertainty factors, such as EPU, VIX, GFSI, GPR, and CPU, on connectedness. The empirical findings expose a high time-varying connectedness spillover among the four oil market shocks, global economic conditions, and eight country-specific financial stress indices, where the long-run spillover is more persistent than the short-run spillover. The results also demonstrate that the global economic conditions, Singapore’s financial stress, oil supply and demand shocks, and Thailand’s financial stress were the subsequent shock transmitters, whereas the financial stress indices of Pakistan, Sri Lanka, India, Indonesia, and the Philippines are the spillover recipients. In the short run, global conditions and eight country-specific financial stress indices serve as shock transmitters, while four oil market shocks act as shock receivers. In the long run, shock transition is consistent with total spillover, and only global financial stress influences the increase in their total, short- and long-term connectedness. Additionally, the shock transmission process changes with the Global Financial Crisis of 2008/09, the oil market shocks of 2014/15, the COVID-19 pandemic, and the war periods. Besides, the global uncertainty factors also exert impacts on total, short- and long-term connectedness. Therefore, the findings are important for prospective investors as well as policymakers. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2025.
BRAC Business School, BRAC University, Dhaka, 1212, Bangladesh; Faculty of Economics and Business, Universitas Negeri Padang, Padang, Indonesia; Faculty of Business and Economics, University of Malaya, Kuala Lumpur, 50603, Malaysia; Faculty of Economics and Administrative Sciences, Erciyes University, Kayseri, 38039, Turkey; School of Business Administration, East Delta University, Chattogram, 4209, Bangladesh; College of Business and Analytics, Southern Illinois University, Carbondale, 62901, IL, United States
