The current paper examines the volatility parameters of thirteen stock markets returns (mature and emerging) by GARCH models in order to see its effects on the potential gains of international diversification. Then, we identify the effects of the volatilities on the correlation between...

This article explores the relation between oil market and the financial stocks market. Particularly, this article examines the impact of oil price shocks on stock markets returns and volatilities for large set of oil importing and exporting countries over 1997:1–2009:08 period. Using VAR...