This study analyzes how oil price shocks affected stock price correlations in the stock markets of five major ASEAN countries: Indonesia, Malaysia, the Philippines, Singapore, and Thailand. Using structural VAR and historical decomposition, we calculate counterfactual (pure) returns under the assumption that the markets are not affected by oil market shocks. We compare the rolling correlations between those markets with the correlations of their actual returns. Our results confirm that oil price shocks affect correlations between countries; however, the effects are strongly time-varying.
Hayato Nakata (Sat,) studied this question.