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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 16

Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries

Khaled Guesmi,    IPAG Business School, IPAG—Lab & EconomiX, University of Paris West Nanterre La Défense, France,    E-mail: khaled.guesmi@ipag.fr

Abstract

This chapter provides further evidence of the comovements and dynamic volatility spillovers between stock markets and oil prices for a sample of five oil-importing countries (USA, Italy, Germany, Netherlands and France) and four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia, and Venezuela). We make use of a multivariate GJR-DCC-GARCH approach developed by Glosten et al. (1993). The results show that: (i) dynamic correlations ...

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