VOLATILITY SPILLOVERS BETWEEN OIL PRICES AND STOCK RETURNS IN DEVELOPING COUNTRIES

Can Oil Prices Predict Stock Market Returns?

This paper performs an empirical investigation into the relationship between oil price and stock markets returns for seven countries (Kuwait, Oman, UAE, Bahrain, Qatar, UK and USA) by applying the Vector Auto Regression (VAR) analysis. During this period oil prices have tripled creating a substantial cash surplus for the Gulf Cooperation Council (GCC) Countries while simultaneously creating inc...

Forecasting Volatility in Developing Countries’ Nominal Exchange Returns

This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised countries, a result that is reaffirmed here. However, we show that when dealing with developing countries’ d...

Crisis Effect On The Relationship Between Stock Returns And Volatility In Iran

Decomposition of Stock Returns Spillovers and Detection of Breakpoints in Volatility

First, we find that stock markets in Latin America, Eastern Europe and the Middle East, and Emerging Asia are sensitive to stock market activity of the G7 countries. However, the impact of the former on the G7 countries is much weaker at different time scales. In the same vein, the North America stock markets help to explain the evolution of returns in Latin America, Emerging Asia, the Far East...

Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

Article history: Received 31 August 2012 Received in revised form 22 April 2013 Accepted 19 May 2013 Available online 25 May 2013 This paper investigates the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models. The model is imple...