The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

被引：105

作者：

Degiannakis, Stavros ^{[1
]}

Filis, George ^{[2
]}

Kizys, Renatas ^{[3
]}

机构：

[1] Bank Greece, Econ Res Dept, GR-10250 Athens, Greece

[2] Bournemouth Univ, Execut Business Ctr, Dept Accounting Finance & Econ, Bournemouth BH8 8EB, Dorset, England

[3] Univ Portsmouth, Portsmouth Business Sch, Subject Grp Econ & Finance, Portsmouth PO1 3DE, Hants, England

来源：

ENERGY JOURNAL | 2013年 / 35卷 / 01期

关键词：

Conditional Volatility; Realized Volatility; Implied Volatility; Oil Price Shocks; SVAR; INFORMATION-CONTENT; SUPPLY SHOCKS; UNCERTAINTY; US; IRREVERSIBILITY; DECOMPOSITION; MACROECONOMY; INVESTMENT; PROVIDE; IMPACT;

D O I：

10.5547/01956574.35.1.3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current- and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short- and long-run volatility models supports the findings.

引用

页码：35 / 56

页数：22

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