Does Oil Price Uncertainty Transmit to Stock Markets?

Martin Ågren ()

No 2006:23, Working Paper Series from Uppsala University, Department of Economics

Abstract: The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock market’s own shocks, which are related to other factors of uncertainty than the oil price, are more prominent than oil shocks.

Keywords: Volatility spillover; multivariate GARCH; BEKK; oil shocks; stock market (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-fin
Date: 2006-10-17
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