Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging

Yudong Wang and Li Liu ()
Additional contact information
Li Liu: Nanjing Audit University

Empirical Economics, 2016, vol. 50, issue 4, No 15, 1509 pages

Abstract: Abstract In this paper, we investigate volatility spillovers and dynamic correlations between crude oil and stock markets using GARCH-class models. We focus on the dynamic relationships of seven major oil-exporting countries and nine oil-importing countries. Our main findings based on in-sample and out-of-sample evidence suggest that the volatility spillovers and dynamic correlations between global crude oil market and a country’s stock market depend on the net position of oil imports and exports of this country in the world market. In addition, crude oil risk can be better hedged by investing in stocks of oil-exporting countries than in those of oil-importing countries.

Keywords: Crude oil price; Stock prices; Volatility; Hedging; Out of sample (search for similar items in EconPapers)
JEL-codes: C22 C32 G11 G17 G32 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-015-0983-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0983-2

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-015-0983-2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().