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Crude oil and world stock markets : volatility spillovers, dynamic correlations, and hedging

Wang, Yudong; Liu, Li - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1481-1509

Persistent link: https://www.econbiz.de/10011481725

A model-free test for contagion between crude oil and stock markets

Pan, Zhiyuan; Zheng, Xu; Gong, Yuting - In: Economics letters 130 (2015), pp. 1-4

Persistent link: https://www.econbiz.de/10011422065

Copula model dependency between oil prices and stock markets : evidence from Tunisia and Egypt

Hamma, Wajdi; Ghorbel, Ahmed; Jarboui, Anis - In: American journal of finance and accounting 5 (2018) 2, pp. 111-150

Persistent link: https://www.econbiz.de/10011966793

Volatility spillovers between oil prices and the stock market under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: Global finance journal 29 (2016), pp. 12-23

Persistent link: https://www.econbiz.de/10011714558

Dynamics of oil price shocks and stock market behavior in Pakistan : evidence from the 2007 financial crisis period

Jebran, Khalil; Chen, Shihua; Saeed, Gohar; Zeb, Alam - In: Financial innovation : FIN 3 (2017) 2, pp. 1-12

Background: The aim of this study is to investigate the effect of the oil price and its volatility on the stock market …. We find a significant effect of oil price volatility on the stock market in both sub-periods from the GARCH model …. Furthermore, the EGARCH model shows an asymmetric effect of oil price volatility on the stock market in the pre-crisis period …

Persistent link: https://www.econbiz.de/10011661577