Research
Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model
The main objectives of this study are twofold. The first objective is to examine the volatility spillover between the GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial returns using copula functions. Five candidates, the Gaussian, the Student’s t, the Frank, the Clayton and the Gumbel copulas, are compared. Our empirical results for the first objective suggest that there exist moderate cross market volatility transmission and shocks between the markets, indicating that the past innovation in stock market have great effect on future volatility in oil market and vice versa. 0
Shock, Return and Volatility Spillovers among The US, Japan and European Monetary Union Stock Markets
This paper examines the return links and volatility spillovers between US, Japan and European stock markets over the turbulent period 2005-2012. We use a recent generalized VARGARCH model which allows for transmission in return and volatility. The results show that American stock market is mostly influenced by past shocks and volatilities. Besides, for all markets under investigation, the past own volatilities is stronger driver in determining future volatility. This implies that a market’s fundamentals have more influence on volatility than shocks or news. Moreover, our results show the existence of shocks and volatility transmission between only US and EMU. For the Japanese market, only the past own conditional volatility and shocks are allowed to impact the future volatility. Our findings have important implications for the presence of diversification opportunities for portfolios investors.
