Jebran, Khalil; Chen, Shihua; Saeed, Gohar; Zeb, Alam - In: Financial Innovation 3 (2017) 2, pp. 1-12
, the Johansen-Juselius cointegration test, generalized autoregressive conditional heteroskedasticity (GARCH) model … stock market returns in both sub-periods, while the result for the GARCH model is significant only in the post-crisis period …. We find a significant effect of oil price volatility on the stock market in both sub-periods from the GARCH model …