Volatility contagion between oil and the stock markets of G7 countries plus India and China
Resources Policy
; 81:103377.0, 2023.
Article
in English
| ScienceDirect | ID: covidwho-2230641
ABSTRACT
It is imperative to analyze over the potential risks persisting in the financial systems from time to time. In this connection, this study examines volatility spillover between crude oil price and stock prices of G7 plus India and China using Diebold and Yilmaz (2012) technique from Jan 4, 2005–June 9, 2021. Although, our results show high stock market returns volatility connectedness among the sample countries but we find no significant transmission between oil prices and stock markets for the whole sample. The sub-sample results indicate that the period marked by COVID-19 witnessed substantial bidirectional spillovers between oil market and stock market. Empirical results of this study is expected to offer important policy inputs for investors, and policymakers to devise cautious strategies concerning their investments during uncertainties.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Prognostic study
Language:
English
Journal:
Resources Policy
Year:
2023
Document Type:
Article
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