Market Volatility Interactions and Safe-Haven Behavior in ASEAN-5 Equity Markets: Evidence from Global Commodity Shocks (2015–2025)
DOI:
https://doi.org/10.69569/jip.2026.006Keywords:
ASEAN-5 equity markets, Gold safe-haven, Oil volatility spillover, Portfolio hedging, Time-varying volatility modelingAbstract
Utilizing an asymmetric time-varying volatility modeling framework (DCC-GJR-GARCH) estimated under a Multivariate Student-t distribution, this study investigates market volatility interactions and safe haven behavior across the ASEAN-5 equity markets in response to global gold and crude oil shocks from January 2015 to December 2025. The study captures non-linear crisis dynamics across 2,608 synchronized trading days, spanning the 2020 COVID-19 pandemic crash and the 2022–2025 global inflationary cycle. Daily adjusted closing prices were extracted from Yahoo Finance via the tidyquant API in R. Preliminary diagnostics confirm the stationarity of all return series and the presence of significant volatility clustering, supporting the asymmetric modeling approach. Three principal findings emerge. First, significant positive leverage effects are documented across all ASEAN-5 equity markets (γ = .05 to .12, p < .001), confirming structural overreaction to negative market shocks. Second, gold exhibits a statistically significant negative gamma parameter (γ = −.05, p < .001), indicating counter-cyclical, safe-haven behavior; however, its hedging efficacy is markedly heterogeneous—functioning as a strong crisis shield for Singapore (r = −.15) and Indonesia (r = −.13) but acting as a mere diversifier for the Philippines (r = −.04). Third, Brent crude oil exhibits significant positive contagion toward oil-importing nations, particularly Thailand (r = .15) and Singapore (r = .12), while Malaysia demonstrates comparatively lower sensitivity (r = .08). Portfolio optimization reveals that institutional investors require substantially elevated gold allocations (44.72%–70.31%) to achieve minimum-variance portfolios. These findings suggest that standard Western allocation norms are insufficient for the ASEAN-5 risk environment, with important implications for regional fund managers and policymakers seeking to design robust hedging strategies during periods of global market stress.
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