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Does Oil Price Uncertainty Transmit to Stock Markets?

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  • 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.

Suggested Citation

  • Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics.
    • Handle: RePEc:hhs:uunewp:2006_023
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    More about this item

    Keywords

    Volatility spillover; multivariate GARCH; BEKK; oil shocks; stock market;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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