Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-33
examine two channels that transmit the effect of oil market movements to the liquidity commonality in international equity … markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate …