 Volatility Between Oil Prices and Stock Returns of Dow Jones Index: A Bivariate GARCH (BEKK) ApproachDimitrios Kartsonakis Mademlis () and
Nikolaos Dritsakis ()
Chapter Chapter 16 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 209-221 from Springer Abstract: Abstract The relationship between the oil prices and the stock market has occupied several researchers in recent years. Most papers show that stock markets are affected by oil price fluctuations, with few papers supporting the reverse direction. The causal relationships between stock markets and oil prices depend on symmetric and asymmetric changes in oil prices or focus on the unexpected changes in oil prices. In this paper we employ a bivariate BEKK-GARCH(1,1) model in order to estimate the conditional volatility between the oil prices and the stock market index Dow Jones. We are using daily returns from 21 October 1997 to 31 May 2017. The results of our work showed that there is neither transmission of shocks nor volatility spillover between the two markets. Moreover, it was found that the conditional volatility of the returns for both indices is affected only by their own shocks and their own lagged conditional volatility. Keywords: BEKK-GARCH model; Oil prices; Stock market; Volatility (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_16 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-02194-8_16 Access Statistics for this chapter More chapters in Springer Proceedings in Business and Economics from Springer |
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