Changes in demand for crude oil and its correlation with crude oil and stock market returns volatilities: Evidence from three Asian oil importing countries

While different streams of literature exist investigating the relationship and the conditional correlation between oil import prices, oil returns volatility and stock market returns volatility. The period of the study runs from July 1997 until July 2017 with a monthly data. The objectives of the present paper are the following to investigate the order of the mean equation, the order (p,q) of the conditional variance and the order (r,s) of the Diag-BEKK model. Data from the Indian and Indonesian stock market returns series respectively shows the existence of appropriate ARMA(2,2)-EGARCH(2,2) and ARMA(2,2)-IGARCH(2,2) models.