Purpose – This paper aims to employ GARCH-class models (GARCH, IGARCH and CGARCH) to estimate the volatility persistence on crude oil, US, Gulf Corporation Council (GCC), Brazil, Russia, India and China (BRIC) stock markets. Also, the paper investigates the volatility spillover and the dynamic...

Purpose – This paper aims to investigate empirical evidence of behavioral contagion between oil market, US market and stock markets of oil-importing and oil-exporting countries, during the oil shock and US financial crisis period of 2008-2009, after controlling for fundamentals-driven...

This article attempts to shed light on the impact of oil prices, investor sentiment, and conventional index on 11 Islamic indices, particularly during the subprime financial crisis and the oil crisis. Empirical evidence suggests that the Malaysian and Indonesian Islamic indices are very much...

The current paper examines the volatility parameters of thirteen stock markets returns (mature and emerging) by GARCH models in order to see its effects on the potential gains of international diversification. Then, we identify the effects of the volatilities on the correlation between...

This article explores the relation between oil market and the financial stocks market. Particularly, this article examines the impact of oil price shocks on stock markets returns and volatilities for large set of oil importing and exporting countries over 1997:1–2009:08 period. Using VAR...

This paper presents empirical evidence of herding contagion between oil market and stock markets, during the oil shock and the US financial crisis period of 2008-2009, after controlling fundamentals-driven comovements. We estimate the forecasting errors of time-varying parameters using the...

This study examines the contagion of herding behavior in the Tunisian financial system during the period 2000:01-2012:12 by using several GARCH models. The BEKK-GARCH model results prove the volatility spillovers between the residues of time deposit and other financial variables for savings...