Tools
ToolsDegiannakis, S., Filis, G. and Kizys, R., 2014. The effects of oil price shocks on stock market volatility: Evidence from European data. Energy Journal, 35 (1), 35 - 56.
Full text available as:
|
PDF
Energy Journal_Filis2014_pre-print.pdf - Accepted Version 1MB | |
|
Copyright to original material in this document is with the original owner(s). Access to this content through BURO is granted on condition that you use it only for research, scholarly or other non-commercial purposes. If you wish to use it for any other purposes, you must contact BU via BURO@bournemouth.ac.uk. Any third party copyright material in this document remains the property of its respective owner(s). BU grants no licence for further use of that third party material. |
Abstract
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current-and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short-and long-run volatility models supports the findings.
| Item Type: | Article |
|---|---|
| ISSN: | 0195-6574 |
| Uncontrolled Keywords: | Conditional Volatility, Realized Volatility, Implied Volatility, Oil Price Shocks, SVAR |
| Group: | Bournemouth University Business School |
| ID Code: | 21272 |
| Deposited By: | Symplectic RT2 |
| Deposited On: | 16 Jun 2014 14:03 |
| Last Modified: | 14 Mar 2022 13:49 |
Downloads
Downloads per month over past year
| Repository Staff Only - |