Price and volatility spillovers

In this study, the VAR-GARCH model introduced by Ling and McAleer (2003) was used to determine the interaction between oil prices and stock markets in terms of return and volatility for developing countries (BRICS-T). The reason for choosing this model is to reveal whether the shocks and volatility in these markets have a transitional effect.

6p mynguyenha 21-07-2021 19 2   Download

This paper provides empirical evidence on the price and volatility transmission among the main European (National Balancing Point and Title Transfer Facility) and the Japan-Korean Marker (JKM) gas markets with that of Brent crude oil market, a crude oil benchmark used in Europe and Asia. The paper provides evidence that there are no price spillovers among oil and gas in European gas hubs. The European markets, contrary to the JKM market, seem to be mature enough as in the case of the US gas market.

15p kethamoi7 15-08-2020 22 2   Download

In this paper, employ asymmetric multivariate GARCH approaches to examine their performance on the volatility interactions between global crude oil prices and seven major stock market indices. Insofar as volatility spillover across these markets is a crucial element for portfolio diversification and risk management, we also examine the optimal weights and hedge ratios for oil-stock portfolio holdings with respect to the results.

19p nguyenxuankha_bevandan 13-08-2020 25 2   Download

In this paper, the Cheung-Ng procedure and the rolling correlation method are used to examine how the connection between the crude oil market and the macroeconomic fundamentals of the 2000s differs from the 70s. Our findings show that the economic meltdown (e.g. 2007-08) becomes positively correlated with oil price changes. Indeed, from the 90s the role of oil supply shocks is attenuated compared with the role of aggregate demand to drive the oil price volatility. Hence, the US economic recession leads to rising oil price volatility in the long-term.

24p trinhthamhodang2 21-01-2020 26 1   Download

We study the impact of price bands in the Indian capital markets and following the methodology of Kim and Rhee (1997) we do not find evidence in support of the volatility spillover hypothesis. Our evidence suggests that price limits does not hinder the price discovery process and may play an important role in reducing the volatility of stock prices in the emerging markets like India.

5p vimadrid2711 18-12-2019 24 0   Download