Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand

Krit Theplib, Yuthana Sethapramote and Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and stock markets by taking into account the impact of the 2008 global financial crisis. Daily data from crude oil market and the Thai stock market during February 6, 2004 and September 14, 2015 are used in the analyses. The whole sample is divided into the pre- and post- crisis periods. The results show that there are no spillover effects between oil price and stock returns in the pre-crisis period. In the post-crisis period, there are unilateral spillover effects from oil price to some equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock market return. The findings in this paper are crucial for financial market participations to understand shock and volatility transmissions from oil to stock markets such that portfolio management should take into account the presence of oil price risk.

Keywords: Stock returns; oil price shock; volatility spillover; bivariate GARCH (search for similar items in EconPapers)
JEL-codes: G1 G12 Q43 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-ene, nep-ets, nep-fmk, nep-rmg and nep-sea
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