The effects of oil price shocks on stock market volatility: Evidence from European data.

Degiannakis, 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 .

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DOI: 10.5547/01956574.35.1.3

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
Subjects:UNSPECIFIED
Group:Business School
ID Code:21272
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:16 Jun 2014 14:03
Last Modified:16 Jun 2014 14:03

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