Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twenty portfolios of the Korean stock market. Also,...

The energy revolution in Saudi Arabia has accelerated significantly since 2016, driven by the National Vision 2030. Significant changes to energy subsidies took place, and the renewable energy sector has seen rapid growth. The paper presents an empirical analysis of the Saudi energy transition...

This study deals with the evolution of fuels' prices over time in the EU. The central research inquiry revolves around whether there exists any correlation among the trajectories followed by national prices in the gasoline and diesel markets. The EU, and more specifically the Euro-Area, by its...

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three steps: (1) to identify mispricings in the...