石油市场波动和股票市场波动的重新评估:来自南盟国家的证据

IF 0.7 Q3 ECONOMICS

Comparative Economic Research-Central and Eastern Europe Pub Date : 2023-09-29 DOI:10.18778/1508-2008.26.27

Tariq Aziz

{"title":"石油市场波动和股票市场波动的重新评估:来自南盟国家的证据","authors":"Tariq Aziz","doi":"10.18778/1508-2008.26.27","DOIUrl":null,"url":null,"abstract":"Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.","PeriodicalId":44249,"journal":{"name":"Comparative Economic Research-Central and Eastern Europe","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries\",\"authors\":\"Tariq Aziz\",\"doi\":\"10.18778/1508-2008.26.27\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.\",\"PeriodicalId\":44249,\"journal\":{\"name\":\"Comparative Economic Research-Central and Eastern Europe\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2023-09-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Comparative Economic Research-Central and Eastern Europe\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18778/1508-2008.26.27\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Comparative Economic Research-Central and Eastern Europe","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18778/1508-2008.26.27","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

波动溢出表明一个市场的信息是否会影响另一个市场的信息。本文考察了石油市场波动是否会溢出到选定的南盟国家的股票市场。该研究使用了2013年2月至2019年9月的数据，以获取有关全球油价波动对南盟成员国股票市场传导的最新证据。二元EGARCH模型用于检验波动率从石油市场到股票市场的传导。研究发现，除了孟加拉国之外，油价冲击对股市波动没有显著影响。决策者在制定政策时可以利用这些发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries

Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Comparative Economic Research-Central and Eastern Europe ECONOMICS-

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

16 weeks