A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market
Elie Bouri ()
Energy Policy, 2015, vol. 85, issue C, 271-279
Within the new developed causality-in-variance approach, this paper builds up a broad methodological framework to more accurately capture the risk spillover effects between global oil prices and Jordanian stock market returns during the period 1 March 2003–31 January 2014. The sample period is divided, on the basis of the 2008 financial crisis, into pre-crisis and post-crisis periods. Results for the pre-crisis period show a lack of risk spillovers between global oil and the Jordanian stock market. After the crisis, however, we find evidence for one-way risk spillover running from the oil market. These findings have implications for the design of appropriate asset allocation and regulatory policies to manage risk spillover effects.
Keywords: Risk spillover; Crude oil prices; Stock market return; Jordan (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:85:y:2015:i:c:p:271-279
Access Statistics for this article
Energy Policy is currently edited by N. France
More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().