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Autor
Aziz Tariq (Prince Muhammad Bin Fahd University, Finance and Accounting, Khobar, Dhahran Saudi Arabia)
Tytuł
A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries
Ponowna ocena zmienności na rynku ropy naftowej i zmienności na rynku akcji na przykładzie wybranych krajów SAARC
Źródło
Comparative Economic Research, 2023, vol. 26, nr 3, s. 179-196, tab., wykr., bibliogr. 43 poz.
Słowa kluczowe
Giełda, Ropa naftowa, Informacja
Stock exchange, Oil, Information
Uwagi
Klasyfikacja JEL: C32, G15.
summ., streszcz.
Firma/Organizacja
Południowoazjatyckie Stowarzyszenie Współpracy Regionalnej
South Asian Association for Regional Cooperation (SAARC)
Kraj/Region
Afganistan, Bangladesz, Bhutan, Indie, Malediwy, Nepal, Pakistan, Sri Lanka
Afghanistan, Bangladesh, Bhutan, India, Maldives, Nepal, Pakistan, Sri Lanka
Abstrakt
Przenoszenie zmienności dostarcza informacji, czy informacje na jednym rynku wpływają na informacje na innym rynku. W niniejszym artykule zbadano, czy zmienność rynku ropy naftowej przenosi się na rynki akcji wybranych krajów SAARC. W badaniu wykorzystano dane z okresu od lutego 2013 r. do września 2019 r. w celu uzyskania zaktualizowanych danych na temat przenoszenia zmienności globalnych cen ropy naftowej na rynki akcji państw członkowskich SAARC. Wykorzystano dwuwymiarowy model EGARCH do testowania przenoszenia zmienności z rynku ropy naftowej na rynek akcji. Należy zauważyć, że szoki cenowe na rynku ropy naftowej nie mają znaczącego wpływu na zmienność na rynkach akcji, z wyjątkiem rynku akcji w Bangladeszu. Decydenci mogą wykorzystać te ustalenia przy podejmowaniu decyzji w obszarze polityki. (abstrakt oryginalny)

Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions. (original abstract)
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Bibliografia
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Cytowane przez
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ISSN
1508-2008
Język
eng
URI / DOI
http://dx.doi.org/10.18778/1508-2008.26.27
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