Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries

This source preferred by George Filis

Authors: Boldanov, R., Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/24867/

Journal: International Review of Financial Analysis

Volume: 48

Pages: 209-220

Publisher: Elsevier

ISSN: 1057-5219

This data was imported from Scopus:

Authors: Boldanov, R., Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/24867/

Journal: International Review of Financial Analysis

Volume: 48

Pages: 209-220

ISSN: 1057-5219

DOI: 10.1016/j.irfa.2016.10.002

© 2016 Elsevier Inc. This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock market volatilities changes over time fluctuating at both positive and negative values. (ii). Heterogeneous patterns in the time-varying correlations are evident between the oil-importing and oil-exporting countries. (iii) Correlations are responsive to major economic and geopolitical events, such as the early-2000 recession, the 9/11 terrorist attacks and the global financial crisis of 2007–2009. These findings are important for risk management practices, derivative pricing and portfolio rebalancing.

This data was imported from Web of Science (Lite):

Authors: Boldanov, R., Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/24867/

Journal: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Volume: 48

Pages: 209-220

eISSN: 1873-8079

ISSN: 1057-5219

DOI: 10.1016/j.irfa.2016.10.002

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