The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets

Lake E. A. and Constantinos Katrakilidis

European Research Studies Journal, 2009, vol. XII, issue 1, 149-161

Abstract: The current paper attempts to explore the effects of oil price returns and oil price volatility on the Greek, the US, the UK and the German stock markets. More specifically, the research focuses on the interactions among oil prices, its volatility, and the stock market returns as well as on the futures indices of each index. The volatility of the employed indices has been quantified by applying EGARCH models and the relationship between the variables has been examined by means of structural equation models (SEM).

Keywords: stocks; volatility; returns (search for similar items in EconPapers)
JEL-codes: C22 C50 C53 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:xii:y:2009:i:1:p:149-161

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