Transmission de la volatilité entre le marché du pétrole et les marchés financiers des pays producteurs

Volatility transmission among the oil market and the financial markets of oil-producing countries

Oualid Lajili

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the dynamics of volatility transmission among, the oil market, the U.S financial market and the financial markets of four oil producing countries (Venezuela, Indonesia, Russia and Kuwait). The study uses a trivariate GARCH model with BEKK parameterization. The findings show that U.S financial market affect oil market and all other financial market of studied countries. There is, also, volatility transmission from oil market to all other financial market of oil producing countries. But it seems that the Russian financial market is likely to influence more the oil market. Our results suggest a powerful relation between physical and financial market which can be useful in the construction of assets pricing models in the oil producing countries and in the forecasting of future price and even volatility of black gold.

Keywords: Volatility transmission; Stock returns; Oil prices; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: E44 F3 Q43 (search for similar items in EconPapers)
Date: 2013-03-08
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