Does Oil Price Uncertainty Matter for Stock Returns in South Africa?
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References listed on IDEAS
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011.
"Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries,"
International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," MPRA Paper 96299, University Library of Munich, Germany.
- Komain Jiranyakul, 2014.
"Does oil price uncertainty transmit to the Thai stock market?,"
Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(6), pages 16-25, December.
- Jiranyakul, Komain, 2014. "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper 56527, University Library of Munich, Germany.
- Jiranyakul, Komain, 2014. "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper 57395, University Library of Munich, Germany.
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More about this item
Keywords
Real oil price; Real stock returns; Volatility; Asymmetry; GARCH-in-mean VAR; Emerging 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)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
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