Return and volatility transmission between oil prices and oil-exporting and oil-importing countries

Khaled Guesmi and Salma Fattoum

Economic Modelling, 2014, vol. 38, issue C, 305-310

Abstract: This paper provides further evidence of the comovements and dynamic volatility spillovers between stock markets and oil prices for a sample of five oil-importing countries (USA, Italy, Germany, Netherland and France) and four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCC-GARCH approach developed by Glosten et al. (1993). The results show that: i) dynamic correlations do not differ for oil-importing and oil-exporting economies; ii) cross-market comovements as measured by conditional correlation coefficients increase positively in response to significant aggregate demand (precautionary demand) and oil price shocks due to global business cycle fluctuations or world turmoil; iii) oil prices exhibit positive correlation with stock markets; and iv) oil assets are not a good ‘safe haven’ for protection against stock market losses during periods of turmoil.

Keywords: Oil prices; Stock markets; Conditional correlations; DCC-GJR-GARCH model (search for similar items in EconPapers)
JEL-codes: C1 E44 G15 Q43 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (114)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:305-310

DOI: 10.1016/j.econmod.2014.01.022

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