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Volatility spillovers between oil prices and stock returns : a focus on frontier markets

Gomes, Mathieu; Chaibi, Anissa - In: The journal of applied business research 30 (2014) 2, pp. 509-525

Persistent link: https://www.econbiz.de/10010353528

The impact of oil prices on sectoral equity returns : evidence from UK and US stock market data

Falzon, Joseph; Castillo, Daniel - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 247-268

Persistent link: https://www.econbiz.de/10011949614

Does oil prices uncertainty affect stock returns in Russia : a bivariate generalized autoregressive conditional heteroskedasticity-in-mean approach

Bass, Alexander - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 4, pp. 224-230

Persistent link: https://www.econbiz.de/10011749964

Oil prices and stock markets : does the effect of uncertainty change over time?

Joo, Young C.; Park, Sung Y. - In: Energy economics 61 (2017), pp. 42-51

Persistent link: https://www.econbiz.de/10011737651

Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach

Zhu, Huiming; Su, Xianfang; You, Wan-hai; Ren, Ying-hua - In: Applied economics 49 (2017) 25, pp. 2491-2507

Persistent link: https://www.econbiz.de/10011819559

Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects

Attílio, Luccas Assis; Mollick, André Varella - In: Energy economics 135 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015046980

Oil price shocks and the US stock market : a nonlinear approach

Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36

Persistent link: https://www.econbiz.de/10013259395

How are VIX and stock index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

Persistent link: https://www.econbiz.de/10011441620

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478

Daily oil price shocks and their uncertainties

Wang, Shu - 2024

- specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks … while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks …

Persistent link: https://www.econbiz.de/10015143999