Shock and volatility spillovers between oil and emerging seven stock markets

Khurshid M., KIRKULAK ULUDAĞ B.

INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT, cilt.15, sa.5, ss.933-948, 2021 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 15 Sayı: 5
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1108/ijesm-02-2020-0014
  • Dergi Adı: INTERNATIONAL JOURNAL OF ENERGY SECTOR MANAGEMENT
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, Compendex, INSPEC
  • Sayfa Sayıları: ss.933-948
  • Anahtar Kelimeler: Granger causality test, Oil prices, Volatility spillover, Hedge ratio, Emerging seven, VAR-GARCH approach, VAR-GARCH model
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

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