publications
Article
Crude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model  |
Jaghoubi Salma, 2014 |
global journal of management and business research:C Finance, 15, 10, Décembre 2014 |
Résumé
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
The main objectives of this study are twofold. The first objective is to examine thevolatility spillover between the GCC stock markets and Oil prices, over the period 2005-2012, in amultivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission inreturns and volatility. The second is to investigate the dependence structure and to test thedegree of the dependence between financial returns using copula functions. Five candidates, theGaussian, the Student’s t, the Frank, the Clayton and the Gumbel copulas, are compared. Ourempirical results for the first objective suggest that there exist moderate cross market volatilitytransmission and shocks between the markets, indicating that the past innovation in stockmarket have great effect on future volatility in oil market and vice versa. 0
