December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 16
Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries
Khaled Guesmi, IPAG Business School, IPAG—Lab & EconomiX, University of Paris West Nanterre La Défense, France, E-mail: khaled.guesmi@ipag.fr
Abstract
This chapter provides further evidence of the comovements and dynamic volatility spillovers between stock markets and oil prices for a sample of five oil-importing countries (USA, Italy, Germany, Netherlands and France) and four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia, and Venezuela). We make use of a multivariate GJR-DCC-GARCH approach developed by Glosten et al. (1993). The results show that: (i) dynamic correlations ...
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