Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model
Keywords:
subprime financial crisis, return spillover, volatility spillover; oil market, var-garch (1, 1)- copula model
Abstract
The main objectives of this study are twofold. The first objective is to examine the volatility spillover between the GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial returns using copula functions. Five candidates, the Gaussian, the Student's t, the Frank, the Clayton and the Gumbel copulas, are compared. Our empirical results for the first objective suggest that there exist moderate cross market volatility transmission and shocks between the markets, indicating that the past innovation in stock market have great effect on future volatility in oil market and vice versa. 0
Downloads
- Article PDF
- TEI XML Kaleidoscope (download in zip)* (Beta by AI)
- Lens* NISO JATS XML (Beta by AI)
- HTML Kaleidoscope* (Beta by AI)
- DBK XML Kaleidoscope (download in zip)* (Beta by AI)
- LaTeX pdf Kaleidoscope* (Beta by AI)
- EPUB Kaleidoscope* (Beta by AI)
- MD Kaleidoscope* (Beta by AI)
- FO Kaleidoscope* (Beta by AI)
- BIB Kaleidoscope* (Beta by AI)
- LaTeX Kaleidoscope* (Beta by AI)
How to Cite
References
Chaker Aloui, Rania Jammazi (2009) The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach. 31(5), 789-799. https://doi.org/10.1016/j.eneco.2009.03.009
Mohamed Arouri, Shawkat Hammoudeh, Amine Lahiani, Duc Nguyen (2012) Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. 52(2), 207-218. https://doi.org/10.1016/j.qref.2012.04.004
Peter Baláž, Andrej Londarev (2006) Oil and its position in the process of globalization of the world economy. 54(4), 508-528. https://doi.org/10.18267/j.polek.571
Syed Basher, Perry Sadorsky (2006) Oil price risk and emerging stock markets. 17(2), 224-251. https://doi.org/10.1016/j.gfj.2006.04.001
Ramaprasad Bhar, Biljana Nikolova (2009) "Oil Prices and Equity Returns in the BRIC Countries." The World Economy. 32(7), 1036-1054. https://doi.org/10.1111/j.1467-9701.2009.01194.x
Tim Bollerslev (1986) Generalized autoregressive conditional heteroskedasticity. 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
Tim Bollerslev (1990) Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model. 72(3), 498. https://doi.org/10.2307/2109358
Don Bredin, John Elder, Stilianos Fountas (2011) "Oil volatility and the option value of waiting: An analysis of the G-7 (2011). 31(7), 679-702. https://doi.org/10.1002/fut.20492
Felix Chan, Christine Lim, Michael McAleer (2005) Modelling multivariate international tourism demand and volatility. 26(3), 459-471. https://doi.org/10.1016/j.tourman.2004.02.013
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat (2010) Crude oil hedging strategies using dynamic multivariate GARCH. 33(5), 912-923. https://doi.org/10.1016/j.eneco.2011.01.009
I. Chen, J. Coffey, T. Mudge (1996) Analysis of branch prediction via data compression. 128-137.
Peter Clark (1973) A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices. 41(1), 135. https://doi.org/10.2307/1913889
J. Cunado, F. Perez de Garcia (2005) Oil prices, economic activity and inflation: evidence for some Asian countries. 45(1), 65-83. https://doi.org/10.1016/j.qref.2004.02.003
A. Cologni, Manera M (2008) Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. 30, 856-888.
Robert Engle (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. 50(4), 987. https://doi.org/10.2307/1912773
R. Engle (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. 20, 339-350.
M. Gronwald (2008) Large Oil Shocks and the US Economy: Infrequent Incidents with Large Effects. 29, 151-171.
Shawkat Hammoudeh, Eisa Aleisa (2004) Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures. 22(2), 250-269. https://doi.org/10.1093/cep/byh018
Rania Jammazi, Chaker Aloui (2010) Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns. 38(3), 1415-1435. https://doi.org/10.1016/j.enpol.2009.11.023
L. Kilian (2008) Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?. 90, 216-240.
Lutz Kilian, Cheolbeom Park (2009) THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*. 50(4), 1267-1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x
Sandrine Lardic, Valérie Mignon (2006) The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration. 34(18), 3910-3915. https://doi.org/10.1016/j.enpol.2005.09.019
Sandrine Lardic, Valérie Mignon (2008) Oil prices and economic activity: An asymmetric cointegration approach. 30(3), 847-855. https://doi.org/10.1016/j.eneco.2006.10.010
Shiqing Ling, Michael McAleer (2003) ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. 19(02). https://doi.org/10.1017/s0266466603192092
Michael McAleer (2005) AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. 21(1), 232-261. https://doi.org/10.1017/s0266466605050140
Michael McAleer, Felix Chan, Suhejla Hoti, Offer Lieberman (2008) GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. 24(6), 1554-1583. https://doi.org/10.1017/s0266466608080614
J. Miller, Ronald Ratti (2009) Crude oil and stock markets: Stability, instability, and bubbles. 31(4), 559-568. https://doi.org/10.1016/j.eneco.2009.01.009
Paresh Narayan, Seema Narayan (2007) Modelling oil price volatility. 35(12), 6549-6553. https://doi.org/10.1016/j.enpol.2007.07.020
Wiston Risso (2008) The informational efficiency and the financial crashes. 22(3), 396-408. https://doi.org/10.1016/j.ribaf.2008.02.005
Babatunde Odusami (2009) Crude oil shocks and stock market returns. 19(4), 291-303. https://doi.org/10.1080/09603100802314476
Ibrahim Onour (2008) What drives short-term GCC stock market returns? Empirical evidence from fat-tailed distribution. 1(1), 17. https://doi.org/10.1504/aajfa.2008.016888
E. Papapetrou (2001) Oil price shocks, stock market, economic activity and employment in Greece. 23, 511-532.
Stephen Ross (1989) Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy. 44(1), 1. https://doi.org/10.2307/2328272
A. Sklar (1959) Fonctions de répartition à n dimensions et leurs marges. 8, 229-231.
George Tauchen, Mark Pitts (1983) The Price Variability-Volume Relationship on Speculative Markets. 51(2), 485. https://doi.org/10.2307/1912002
Bashar Zarour (2006) Wild oil prices, but brave stock markets! The case of GCC stock markets. 6(2), 145-162. https://doi.org/10.1007/bf02941229
Published
2015-10-09
Issue
Section
License
Copyright (c) 2015 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.