Munich Personal RePEc Archive

Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries

Boldanov, Rustam and Degiannakis, Stavros and Filis, George (2017): Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. Published in: International Review of Financial Analysis No. 48 (2017): pp. 209-220.

[img]
Preview
PDF
MPRA_paper_80435.pdf

Download (846kB) | Preview

Abstract

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock market volatilities changes over time fluctuating at both positive and negative values. (ii). Heterogeneous patterns in the time-varying correlations are evident between the oil-importing and oil-exporting countries. (iii) Correlations are responsive to major economic and geopolitical events, such as the early-2000 recession, the 9/11 terrorist attacks and the global financial crisis of 2007-2009. These findings are important for risk management practices, derivative pricing and portfolio rebalancing.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.