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Oil Price Shocks, Asymmetric Effect and Volatility Spillover; Case of Stock Market in Oil Exporting Countries

Journal of Insurance and Financial Management

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Title Oil Price Shocks, Asymmetric Effect and Volatility Spillover; Case of Stock Market in Oil Exporting Countries
 
Creator Yousefi Amin, Masoud
Yousefi Amin, Zahra
Reza Zadeh, Hamid
 
Description This research analyzes the dynamic relationship between oil price changes and thestock market for the five main net oil exporting countries, namely Iran, Russia, Saudi Arabia, Norway and United Arab Emirates using weekly data from 16/1/2006–15/6/2011. The current studyalso estimateunrestricted multivariate Vector Autoregressions (VAR) model with 4 parameters (stock market return, oil domestic price changes, industrial production growth and world market return) as well as theimpulse response function and variance decomposition.  Moreover, the bivariate BEKK GARCH (1, 1) model is used to show the impact of oil price volatility spillover on stock market volatility.The results reveal that three countries, Russia Iran and Saudi, out ofthe five researchedare sensitive to the oil price shocks and volatility spillover. Furthermore, there is strong evidence of asymmetric effect of oil on the Iranian and Saudi markets. The results presented here may facilitate improvement in future studies about models on risk evaluation of oil exporting markets.
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2016-03-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/11
 
Source Journal of Insurance and Financial Management; Vol 1, No 2 (2016): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/11/pdf_1
 
Rights Copyright (c) 2016 Zahra Yousefi Amin