{"title":"石油市场波动和股票市场波动的重新评估:来自南盟国家的证据","authors":"Tariq Aziz","doi":"10.18778/1508-2008.26.27","DOIUrl":null,"url":null,"abstract":"Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.","PeriodicalId":44249,"journal":{"name":"Comparative Economic Research-Central and Eastern Europe","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries\",\"authors\":\"Tariq Aziz\",\"doi\":\"10.18778/1508-2008.26.27\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.\",\"PeriodicalId\":44249,\"journal\":{\"name\":\"Comparative Economic Research-Central and Eastern Europe\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2023-09-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Comparative Economic Research-Central and Eastern Europe\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18778/1508-2008.26.27\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Comparative Economic Research-Central and Eastern Europe","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18778/1508-2008.26.27","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries
Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.
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