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Does Oil Price Uncertainty Transmit to Stock Markets?

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Author Info

  • Ågren, Martin

    (Department of Economics)

Abstract

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock market’s own shocks, which are related to other factors of uncertainty than the oil price, are more prominent than oil shocks.

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Bibliographic Info

Paper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 2006:23.

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Length: 29 pages
Date of creation: 17 Oct 2006
Date of revision:
Handle: RePEc:hhs:uunewp:2006_023

Contact details of provider:
Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Email:
Web page: http://www.nek.uu.se/
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Related research

Keywords: Volatility spillover; multivariate GARCH; BEKK; oil shocks; stock market;

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References

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Citations

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Cited by:
  1. Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012. "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, vol. 34(2), pages 611-617.
  2. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CARF F-Series CARF-F-157, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
  4. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
  5. Ågren, Martin, 2006. "Prospect Theory and Higher Moments," Working Paper Series 2006:24, Uppsala University, Department of Economics.
  6. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
  7. Khan, Salman, 2010. "Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case," MPRA Paper 22978, University Library of Munich, Germany.
  8. Ching-Chun Wei & Chung-Hsuan Chen, 2014. "Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 189-197.

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