Testing the volatility spillover between crude oil price and the U.S. stock market returns
نویسندگان
چکیده
منابع مشابه
Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
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ژورنال
عنوان ژورنال: Management Science Letters
سال: 2019
ISSN: 1923-9335,1923-9343
DOI: 10.5267/j.msl.2019.4.019