Lee, Yen-Hsien; Liao, Ting-Huei; Huang, Ya-Ling; Huang, … - In: International Journal of Financial Research 6 (2015) 2, pp. 178-189
This study investigates the spillover effects of return and volatility between Brent oil market and stock markets (comparing oil market with both stock markets of oil-exporting and oil-importing countries together and individually) by spillover index. We further use parametric and nonparametric...