Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-33
markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate … the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the … volatility is more pronounced for net oil exporters as opposed to net oil importers after controlling for oil sensitivity. These …