The Volatility Spillover Effect Between the International Crude Oil Futures Price and China’s Stock Market - Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution
نویسندگان
چکیده
منابع مشابه
Empirical Analysis of Volatility Spillover Effects in International Financial Markets
Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...
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Crude oil exerts a strong influence on national economy. Changes of international crude oil price have an important effect on Chinese economy because of China’s high dependence on the import of the crude oil. Thus, Chinese stock market can be shocked by the fluctuation of oil price. Reversely, changes in crude oil imports of China have some effect on demands and price of the crude oil. This art...
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ژورنال
عنوان ژورنال: International Journal of Financial Research
سال: 2019
ISSN: 1923-4031,1923-4023
DOI: 10.5430/ijfr.v10n4p84