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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

Abstract: 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)
Date: 2015
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