On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters

Elie Bouri () and Riza Demirer

Economia Politica: Journal of Analytical and Institutional Economics, 2016, vol. 33, issue 1, No 4, 63-82

Abstract: Abstract This paper examines the volatility transmissions between the oil and stock markets by performing causality-in-variance tests across a number of emerging (oil) importing and exporting nations. The volatility spillover causality tests generally rule out country-to-oil effects, suggesting unidirectional volatility transmissions from oil prices to emerging stock markets, particularly in the case of the net exporting nations of Kuwait, Saudi Arabia and UAE. We also observe significant volatility spillovers from oil prices to emerging importers during the post-global financial crisis period. The findings suggest that the information on oil market volatility combined with the magnitude of volatility spillovers can be utilized towards modeling and monitoring volatility shocks in emerging stock markets.

Keywords: Oil price risk; Emerging markets; Volatility spillover; Causality tests (search for similar items in EconPapers)
JEL-codes: C32 C51 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (28)

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DOI: 10.1007/s40888-016-0022-6

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