The Implication of Integration and Diversification on 'Oil and Gas' Industries Among ASEAN Countries

43 Pages Posted: 18 Jan 2016

See all articles by Hung Quang Do

Hung Quang Do

LaTrobe University - School of Economics and Finance

Ishaq Bhatti

La Trobe University - School of Economics and Finance; Financial Research Network (FIRN)

Muhammad Shahbaz

Comsats University Islamabad

Date Written: January 17, 2016

Abstract

This paper examines the investment opportunities in oil and gas industries in six selected ASEAN countries. The study employs the VAR as well as the bivariate VARMA-MGARCH-ABEKK model on 15 years’ daily time series data. The empirical results report that some investors can obtain a cross-country intra-industry diversification benefit in Malaysia, the Philippines, Singapore and Vietnam, especially for those who have the US oil and gas assets in their portfolios. Investors who are holding Asian oil and gas assets could also invest in these four countries. However, they should bear in mind that negative shocks from the Asian industries would increase return volatilities in the industries of Malaysia, Singapore and Vietnam. The industries of Indonesia and Thailand are insensitive with cross-country intra-industry diversification. This study provides new insights for investors to improve their investment portfolio while investing in oil and gas markets of ASEAN countries.

Keywords: ASEAN countries, Oil and Gas industry, Energy markets, Oil and gas integration, Portfolio selection, Investment Implications

JEL Classification: G11, G15, F36, L95, Q40

Suggested Citation

Do, Hung Quang and Bhatti, Ishaq and Shahbaz, Muhammad, The Implication of Integration and Diversification on 'Oil and Gas' Industries Among ASEAN Countries (January 17, 2016). 2016 Financial Markets and Corporate Governance, Available at SSRN: https://ssrn.com/abstract=2716934 or http://dx.doi.org/10.2139/ssrn.2716934

Hung Quang Do (Contact Author)

LaTrobe University - School of Economics and Finance ( email )

Bundoora
Bundoora, Victoria 3083 3086
Australia

Ishaq Bhatti

La Trobe University - School of Economics and Finance ( email )

Bundoora
Melbourne, 3086
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Muhammad Shahbaz

Comsats University Islamabad ( email )

Park Road
Chak Shahzad
Islamabad, North-West Frontier Province 44000
Pakistan

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