Does Oil Price Uncertainty Transmit to Stock Markets?

Arbeitspapier

The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock market’s own shocks, which are related to other factors of uncertainty than the oil price, are more prominent than oil shocks.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2006:23

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; General Financial Markets: General (includes Measurement and Data)
• Subject: Volatility spillover ; multivariate GARCH ; BEKK ; oil shocks ; stock market ; Ölpreis ; Aktienmarkt ; Spillover-Effekt ; Ökonometrisches Modell

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ågren, Martin
• Event: Veröffentlichung
• (who): Uppsala University, Department of Economics
• (where): Uppsala
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/82778
• URN: urn:nbn:se:uu:diva-83258
• Last update: 10.03.2025, 11:41 AM CET