Geopolitical Uncertainty, Oil Price Uncertainty, and Gold Price Uncertainty on Asymmetric Volatility in ASEAN-5 Stock Markets
Keywords:
Geopolitical uncertainty, oil price uncertainty, gold price uncertainty, asymmetric volatility, ASEAN-5, quantile regressionAbstract
This study investigates the impact of geopolitical uncertainty, oil price uncertainty, and gold price uncertainty on asymmetric volatility in ASEAN-5 stock markets (Indonesia, Malaysia, Thailand, the Philippines, and Singapore). Volatility asymmetry occurs when negative shocks have a stronger effect on market fluctuations than positive ones of the same magnitude. Given ASEAN’s dependence on global commodity markets and exposure to regional political risks, understanding the drivers of asymmetric volatility is essential for investors and policymakers. The study adopts the Asymmetric Uncertainty Theory and Loss Aversion framework to explain why negative information tends to amplify volatility. Employing a quantitative approach using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model combined with Quantile Regression, this research aims to capture heterogeneous effects across different levels of volatility distribution. The data include daily returns of ASEAN-5 stock indices, the Global Geopolitical Risk (GPR) Index, the Crude Oil Volatility Index (OVX), and the Gold Volatility Index (GVZ) for 2018–2023. The expected findings will provide empirical evidence on how global uncertainty factors shape asymmetric market behavior in ASEAN-5, offering insights for portfolio diversification and regional policy coordination.
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