Volatility transmission and conditional correlation between oil prices, stock market and sector indexes: Empirics for Saudi Stock Market
Journal Article
, Ahmed Almohaimeed and Nizar Harrathi . 2013
نوع عمل المنشور:
Paper
رابط المنشور على الويب:
المجلة \ الصحيفة:
Journal of Applied Finance & Banking
رقم العدد:
4
رقم الإصدار السنوي:
3
الصفحات:
من 125 إلى 141
مستخلص المنشور:
This paper investigates the volatility transmission effect and conditional correlations among crude oil, stock market and sector stock indexes in Saudi Arabia. Using daily data from January 3, 2009 to March 21, 2012 and VAR-BEKK specification, we find significant volatility transmission between oil prices and Saudi stock market. Furthermore, our findings show that sector stock returns significantly react to oil prices changes. In addition, except telecom sector, the results show the presence of volatility transmission between stock market and sector stock market returns. Our results are important for understanding how oil prices changes affect Saudi stock market. Indeed, our findings offer insights to investors to know how the value of their portfolios may be affected by large variations observed in oil prices. Our results may have crucial implications for market participants whose optimal portfolio decisions and the risk management policy depend on the characteristics and behavior of conditional volatility