Shock and volatility spillovers between oil and emerging seven stock markets

Khurshid M., KIRKULAK ULUDAĞ B.

INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT, vol.15, no.5, pp.933-948, 2021 (ESCI, Scopus)

  • Publication Type: Article / Article
  • Volume: 15 Issue: 5
  • Publication Date: 2021
  • Doi Number: 10.1108/ijesm-02-2020-0014
  • Journal Name: INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, Compendex, INSPEC
  • Page Numbers: pp.933-948
  • Keywords: Granger causality test, Oil prices, Volatility spillover, Hedge ratio, Emerging seven, VAR-GARCH approach, VAR-GARCH model
  • Dokuz Eylül University Affiliated: Yes

Abstract

Purpose - This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies.