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Measuring contagion effects between crude oil and OECD stock markets

  • Khaled Guesmi
  • Salma Fattoum

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing Engle’s (2002) Dynamic Conditional Correlation (DCC). This process detects eventual volatility spillovers, which are typically observed in stock markets and oil prices. Our sample consists of monthly frequencies stock indexes and oil price, covering 10 OECD countries for the period of January1990- September 2012. Oil price shocks in periods of world turmoil and political events have an important impact on the relationship between oil and stock market prices.

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-090.

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Length: 12 pages
Date of creation: 12 Feb 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-090
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