Volatility spillovers and macroeconomic announcements: evidence from crude oil markets

Aymen Belgacem, Anna Creti, Khaled Guesmi and Amine Lahiani ()
Additional contact information
Aymen Belgacem: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique
Anna Creti: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Amine Lahiani: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor's500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.

Keywords: Volatility spillovers; Macroeconomic announcements; oil prices; stock prices (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Published in Applied Economics, 2015, 47 (28), ⟨10.1080/00036846.2015.1011316⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Volatility spillovers and macroeconomic announcements: evidence from crude oil markets (2014)
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:hal:journl:hal-01517417

DOI: 10.1080/00036846.2015.1011316

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().