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Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries

Author

Listed:
  • Khairulla Massadikov

    (Department of Public Administration and Regional Development, Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan/Kazakhstan.)

Abstract
Risk and uncertainty have always been an important issue for investors, researchers and policymakers. Thus, the explanation of the mechanism of spreading volatility between different markets has been the focus of attention by researchers. Determining the return and volatility interaction between oil prices and stock markets will be useful not only for pricing and hedging financial assets, but also for detecting and interpreting the reflection of the problems arising in the oil industry on the country's economies. In this study, the VAR-GARCH model introduced by Ling and McAleer (2003) was used to determine the interaction between oil prices and stock markets in terms of return and volatility for developing countries (BRICS-T). The reason for choosing this model is to reveal whether the shocks and volatility in these markets have a transitional effect.

Suggested Citation

  • Khairulla Massadikov, 2021. "Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 121-126.
    • Handle: RePEc:eco:journ2:2021-04-16
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    File URL: https://www.econjournals.com/index.php/ijeep/article/view/11117/5898
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    oil price; stock return; volatility spillovers; VAR-GARCH model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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