The Tripartite Spectrum of Risk Transmission in ASEAN Equity Markets: Monetary Anchors, Geopolitical Channels, and Commodity Frictions

ST. Dwiarso Utomo; Entot Suhartono; Ngurah Pandji M., A., D.; Bambang Minarso; Agung Prajanto; Shujahat Ali

doi:10.56696/ijamer.v4i1.186

Authors

ST. Dwiarso Utomo Universitas Dian Nuswantoro
Entot Suhartono Universitas Dian Nuswantoro
Ngurah Pandji M., A., D. Universitas Dian Nuswantoro
Bambang Minarso
Agung Prajanto
Shujahat Ali MUST Business School, Mirpur University of Science and Technology

DOI:

https://doi.org/10.56696/ijamer.v4i1.186

Keywords:

Market segmentation, Geopolitical risk transmission, ASEAN equity markets, Commodity-linked economies, Global financial cycle, Portfolio diversification, Shapley-value decomposition, Monetary policy frictions

Abstract

The prevailing assumption that ASEAN equity markets constitute a homogeneous asset class has profound consequences for regional portfolio construction, hedging strategies, and macroprudential coordination. This study challenges that assumption by identifying three structurally distinct risk-transmission regimes across the ASEAN-4 (Indonesia, Malaysia, Singapore, Thailand) over the 2016–2025 period. Employing a heterogeneous multi-task machine-learning framework augmented with Shapley-value decomposition on daily panel data encompassing global volatility (VIX), crude oil (Brent), crude palm oil (CPO), the US dollar index (DXY), US 10-year Treasury yields, local equity indices, bilateral exchange rates, and the BI-7DRR policy rate, we decompose each market's sensitivity profile into interpretable economic channels. Our analysis reveals a novel empirically grounded taxonomy—the Tripartite Spectrum of market integration: (i) Singapore operates as a Monetary-Driven Hub, with 64.0% of total Shapley attribution concentrated in the DXY and US 10-year yield, consistent with the global financial cycle hypothesis; (ii) Thailand functions as a Geopolitical Risk Transmission Channel, exhibiting disproportionate sensitivity to the VIX with a non-linear threshold effect that amplifies volatility by 340% when the VIX exceeds 35; and (iii) Indonesia and Malaysia constitute Commodity-Linked Segmented Markets, where CPO, Brent crude, and domestic monetary-policy frictions dominate price formation, with a superadditive CPO × BI-7DRR interaction effect (+280% amplification) unique to Indonesia. Kolmogorov-Smirnov tests decisively reject the homogeneous-region null (all cross-country p-values < 0.01). These findings carry direct implications for the limits of intra-ASEAN diversification, the design of regime-specific hedging strategies, and the calibration of commodity-price stress scenarios in macroprudential frameworks.

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