Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model

Jaghoubi Salma

Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model

Jaghoubi Salma * §

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§ Al Majmaah University, Riyadh, Saudi Arabia

Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model

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Abstract

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

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Jaghoubi Salma. 2015. "Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 15 (GJMBR Volume 15 Issue C10).

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GJMBR Volume 15 Issue C10

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: B13

Submission ReceivedFebruary 5, 2015
Peer Review Double Blind
Handling Editor
Accepted March 2, 2015
Published March 15, 2015

Version of record

v1.2

Issue date

November 28, 2015

Language

English

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Total Score: 168

Country: Saudi Arabia

Subject: Global Journal of Management and Business Research

Authors: Jaghoubi Salma (PhD/Dr. count: 0)

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