ABSTRACT
This chapter investigates the time-varying relationship between the Crude Palm Oil Commodity and ASEAN-5 Equity Markets during the period of 1 June 2007 to 31 May 2023 by examining their returns and volatilities using a novel time-varying parameter vector autoregression-based frequency-connectedness approach. The empirical findings reveal distinct behaviors in return connectedness and volatility connectedness between these markets. Specifically, the return connectedness is primarily driven by shock transmissions in the short run, with the equity markets act as the net transmitter while the crude palm oil market acts as the net receiver in terms of net connectedness. Conversely, volatility connectedness is driven by shock transmissions in the long run, with crude palm oil being the net transmitter of volatility spillover. These results hold significant implications for investors and policymakers concerned with commodity prices, enabling them to better understand the interconnections and potential risks in these markets.
