Analysis Volatility Transmission from World Oil Prices to Stock Markets (A Survey: Selection OPEC Countries)

Samadi, Saeed; Khoramipoor, Ali; Mosaddeghi, Ensieh; Mirmahdi, Akram

doi:10.22059/jte.2014.52442

Analysis Volatility Transmission from World Oil Prices to Stock Markets (A Survey: Selection OPEC Countries)

Document Type : Research Paper

Authors

Saeed Samadi ¹

Ali Khoramipoor ²

Ensieh Mosaddeghi ²

Akram Mirmahdi ²

¹ Associate Professor of Economics, University of Isfahan

² University of Isfahan Economics Sciences

10.22059/jte.2014.52442

Abstract

Oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. This paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of OPEC countries, using a multivariate Garch Models (Full-VECH) over the period May 2010 to January 2013 with daily data. This study attempts to examine returns effect of oil price on the stock markets. On the whole, our results point to the existence of substantial return and volatility spillovers between world oil prices and OPEC stock markets. Stock Exchange of Tehran and Kuwait, Respectively least and most affected by the oil global market price shocks and volatility. The results indicate that the efficiency of the oil market with a lag has significantly positive effect on stock market returns in all countries except Iran.
JEL Classification: G15, G11, P34

Keywords

full-vech model

mutivariate garch

OPEC

Stock Price

Volatility transmission