Transmission de la volatilité entre le marché du pétrole et les marchés financiers des pays producteurs.

LAJILI, Oualid (2013): Transmission de la volatilité entre le marché du pétrole et les marchés financiers des pays producteurs.

Abstract

This paper examines the dynamics of volatility transmission among, the oil market, the U.S financial market and the financial markets of four oil producing countries (Venezuela, Indonesia, Russia and Kuwait). The study uses a trivariate GARCH model with BEKK parameterization. The findings show that U.S financial market affect oil market and all other financial market of studied countries. There is, also, volatility transmission from oil market to all other financial market of oil producing countries. But it seems that the Russian financial market is likely to influence more the oil market. Our results suggest a powerful relation between physical and financial market which can be useful in the construction of assets pricing models in the oil producing countries and in the forecasting of future price and even volatility of black gold.

• Item Type: MPRA Paper
• English Title: Volatility transmission among the oil market and the financial markets of oil-producing countries.
• Language: French
• Keywords: Volatility transmission, Stock returns, Oil prices, Multivariate GARCH
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; F - International Economics > F3 - International Finance; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q43 - Energy and the Macroeconomy

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