Working paper 375 views
Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
Syed Shabi-Ul-Hassan 
,
Taufiq Choudhry,
Yilmaz Guney
,
Taufiq Choudhry,
Yilmaz Guney
Swansea University Author:
Syed Shabi-Ul-Hassan
Abstract
This paper investigates volatility transmission between oil revenue-dependent countries’ stock markets and oil price. We employed the Toda-Yamamoto causality procedure, dynamic conditional correlation (DCC) and the diagonal BEKK models to examine volatility transmissions between oil price and stock...
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa64355 |
| Abstract: |
This paper investigates volatility transmission between oil revenue-dependent countries’ stock markets and oil price. We employed the Toda-Yamamoto causality procedure, dynamic conditional correlation (DCC) and the diagonal BEKK models to examine volatility transmissions between oil price and stock indices of these countries, disentangling the process into pre-crisis, crisis, and post-crisis periods. The outcome established the existence of volatility transmissions between oil price and the tested assets, revealing more volatility transmission during periods of pre-financial crisis. We also determine the implication of forward sales for oil revenue-dependent countries’ oil reserves. Results present a diverse range of policy suggestions for the selected countries. |
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| Keywords: |
Oil price, Stock markets, Hedging, Volatility transmission |
| College: |
Faculty of Humanities and Social Sciences |