OIL PRICE SHOCKS, STOCK MARKET BEHAVIOR, AND PORTFOLIO RISK MANAGEMENT: EVIDENCE FROM MAJOR OIL IMPORTING - EXPORTING MARKETS

被引：0

作者：

Jaghoubi, Salma ^{[1
,2
]}

机构：

[1] Majmaah Univ, Coll Business Adm, Dept Business Adm, Majmaah 11952, Saudi Arabia

[2] Univ Tunis El Manar, Int Finance Grp Tunisia, Tunis, Tunisia

来源：

JOURNAL OF ORGANIZATIONAL BEHAVIOR RESEARCH | 2019年 / 4卷 / 02期

关键词：

Stock market returns; volatility spillovers; BEKK model; GARCH; oil shocks; oil export; oil import; LONG MEMORY; ENERGY SHOCKS; CRUDE-OIL; VOLATILITY; RETURNS; IMPACT; MOVEMENTS; US;

D O I：

暂无

中图分类号：

B849 [应用心理学];

学科分类号：

040203 ;

摘要：

The paper reaches the impact of the oil crisis on stock market returns from Major Oil Importing - Exporting Markets and examines the utility of cross oilstock market linkages in portfolio risk management. A VAR- BEKK- GARCH approach was employed to model the above hypothesis based on daily data from January 2000 to December 2017 from four selected countries: Saudi Arabia and Russia, known as the largest oil-exporting countries in the world and two oil-importing countries which are the United States and China. Results indicated that stock returns and the volatility spillover from crude oil return to oil-importing and oil-exporting stock market returns are significant in our data sample. Besides, after the petroleum crisis in 2014, this level of integration is increased with time for the dynamics correlations and however becomes less strong for the conditional variance.

引用

页码：219 / 234

页数：16

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