This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

volatility in the oil market and are responsible for the mean-reversion behavior of oil prices. On the other hand, long …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … implied oil market volatility negatively affect stocks, this effect is significantly asymmetric, and declining oil market …

examines dynamic connectedness and contagion effects of their implied volatility shocks. We then proceed to the examination of … the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and financial … assets. The results suggest that oil implied volatility (OVX) is a net volatility receiver of shocks, whereas implied …

options implied volatility OVX index and a GJR-GARCH model. To do so, we test the effect of the implied volatility of oil on a … as aggregate market returns, market volatility, exchange rates, interest rates, and inflation expectation. Our main … finding is that the implied volatility of oil prices has a consistent and statistically significant negative impact on eight …