Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks … lead to a reduction in stock market volatility. More specifically, aggregate demand oil price shocks have significant …