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The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...
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methods indicate that volatility connectedness is higher than the return connectedness among these assets. Furthermore …
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Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil … major stock indexes, covering daily frequency data for the period 1989-2007. The findings indicate that oil price volatility … has, in general, a negative impact on stock market behavior. Also, some asymmetry and persistence on oil price volatility …
Persistent link: https://www.econbiz.de/10013117396
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
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