Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil markets and major stock markets. The first approach is based on the two-step technique suggested by Cheung and Ng (1996), and the second approach is founded on a multivariate...

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...

In this study, we investigate the relationship between stock market price and crude oil market price using Multivariate GARCH type model. We use daily frequency data of stock price indices S&P500 and NASDAQ composite and the prices of one major Crude Oil products, defined as the US price of West...