Volatility contagion between oil and the stock markets of G7 countries plus India and China

Biplab Kumar Guru, Ashis Pradhan and Ramakrishna Bandaru

Resources Policy, 2023, vol. 81, issue C

Abstract: It is imperative to analyze over the potential risks persisting in the financial systems from time to time. In this connection, this study examines volatility spillover between crude oil price and stock prices of G7 plus India and China using Diebold and Yilmaz (2012) technique from Jan 4, 2005–June 9, 2021. Although, our results show high stock market returns volatility connectedness among the sample countries but we find no significant transmission between oil prices and stock markets for the whole sample. The sub-sample results indicate that the period marked by COVID-19 witnessed substantial bidirectional spillovers between oil market and stock market. Empirical results of this study is expected to offer important policy inputs for investors, and policymakers to devise cautious strategies concerning their investments during uncertainties.

Keywords: Volatility spillovers; Crude oil price; Stock market; Global financial crisis; COVID-19 (search for similar items in EconPapers)
JEL-codes: G01 G11 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000855

DOI: 10.1016/j.resourpol.2023.103377

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