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Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries

Syed Shabi-Ul-Hassan Orcid Logo, Taufiq Choudhry

Swansea University Author: Syed Shabi-Ul-Hassan Orcid Logo

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
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first_indexed 2023-09-04T09:48:19Z
last_indexed 2023-09-04T09:48:19Z
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spelling v2 64355 2023-09-04 Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries e22064d3ecfb7a4a5a0861cb1ec35e64 0000-0003-0884-0576 Syed Shabi-Ul-Hassan Syed Shabi-Ul-Hassan true false 2023-09-04 BAF 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. Working paper Oil price, Stock markets, Hedging, Volatility transmission 0 0 0 0001-01-01 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University Not Required 2023-09-04T10:48:17.6746125 2023-09-04T10:45:46.3447003 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Syed Shabi-Ul-Hassan 0000-0003-0884-0576 1 Taufiq Choudhry 2
title Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
spellingShingle Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
Syed Shabi-Ul-Hassan
title_short Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
title_full Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
title_fullStr Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
title_full_unstemmed Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
title_sort Volatility Spillover between the Oil Market and Stock Market: Evidence from Oil Revenue-Dependent Countries
author_id_str_mv e22064d3ecfb7a4a5a0861cb1ec35e64
author_id_fullname_str_mv e22064d3ecfb7a4a5a0861cb1ec35e64_***_Syed Shabi-Ul-Hassan
author Syed Shabi-Ul-Hassan
author2 Syed Shabi-Ul-Hassan
Taufiq Choudhry
format Working paper
institution Swansea University
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 0
active_str 0
description 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.
published_date 0001-01-01T10:48:19Z
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score 11.017797

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