A reassessment of oil market volatility and stock market volatility: Evidence from selected SAARC countries

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Comparative Economic Research. Central and Eastern Europe ; ISSN: 2082-6737 ; Volume: 26 ; Year: 2023 ; Issue: 3 ; Pages: 179-196

Classification and Topics

• Classification: Wirtschaft
• Subject: stock market ; oil market ; volatility spillovers ; information transmission ; EGARCH

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Aziz, Tariq
• Event: Veröffentlichung
• (who): Lodz University Press
• (where): Lodz
• (when): 2023

Further information

• DOI: doi:10.18778/1508-2008.26.27
• Last update: 10.03.2025, 11:43 AM CET