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Analyzing volatility spillovers between oil market and Asian stock markets

Suleman Sarwar, Aviral Tiwari () and Cao Tingqiu

Resources Policy, 2020, vol. 66, issue C

Abstract: The paper attempts to investigate the volatility spillover between oil and stock markets returns (namely Karachi, Shanghai and Bombay) by using bivariate BEKK-GARCH model covering the period from 1997 to 2014. Further, the data is divided before crisis and after crisis period to capture the role of volatility spillover across different economic scenarios. The findings have confirmed the significant role of historical shocks and volatility of one market on current volatility of the market itself in all three oil and stock markets. Overall, the volatility spillover between oil and stock market has confirmed the bidirectional spillover in Karachi stock market, unidirectional in case of Shanghai stock market, whereas, Bombay stock market has confirmed mixed evidences. These results have confirmed the first strand of the paper that there exists a spillover between oil and stock markets. The second strand of the paper discuss the spillover before and after the crisis period, the results have not shown significant differences between the two periods. Interestingly, the estimated results vary across data frequencies used; daily, weekly and monthly.

Keywords: BEKK-GARCH; Volatility spillover; Crude oil prices; Stock prices (search for similar items in EconPapers)
JEL-codes: Q43 G01 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.resourpol.2020.101608

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