Oil prices, stock market returns and volatility spillovers: Evidence from Turkey
Tóm tắt
Từ khóa
Tài liệu tham khảo
Aggarwal, 1999, Volatility in emerging markets, Journal of Financial and Quantitative Analysis, 34, 33, 10.2307/2676245
Arago-Manzana, 2007, Influence of structural changes in transmission of information between stock markets: A European empirical study, Journal of Multinational Financial Management, 17, 112, 10.1016/j.mulfin.2006.05.002
Arouri, 2009, On the short run influence of oil price changes on stock markets in GCC countries: Linear and nonlinear analyses, Economics Bulletin, 29, 806
Asteriou, 2013, Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries, Energy Economics, 38, 204, 10.1016/j.eneco.2013.02.011
Asteriou, 2013, The influence of oil prices on stock market returns: Empirical evidence from oil exporting and oil importing countries, International Journal of Business and Management, 8, 101, 10.5539/ijbm.v8n18p101
Bastianin, 2016, The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries, Energy Policy, 98, 160, 10.1016/j.enpol.2016.08.020
Belle, 2008
Bouri, 2015, A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market, Energy Policy, 85, 271, 10.1016/j.enpol.2015.06.001
Bouri, 2015, Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods, Energy, 89, 365, 10.1016/j.energy.2015.05.121
Chang, 2010, Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil, Energy Economics, 32, 1445, 10.1016/j.eneco.2010.04.014
Cheung, 1996, A causality-in-variance test and its application to financial market prices, Journal of Econometrics, 72, 33, 10.1016/0304-4076(94)01714-X
Choi, 2010, Volatility behavior of oil, industrial commodity and stock markets in a regimeswitching environment, Energy Policy, 38, 4388, 10.1016/j.enpol.2010.03.067
Ciner, 2001, Energy shocks and financial markets: Nonlinear linkages, Studies in Nonlinear Dynamics and Econometrics, 5, 203, 10.1162/10811820160080095
Cunado, 2003, Do oil price shocks matter? Evidence for some European countries, Energy Econmics, 25, 137, 10.1016/S0140-9883(02)00099-3
Cunado, 2014, Oil price shocks and stock market returns: Evidence for some European countries, Energy Econmics, 42, 365, 10.1016/j.eneco.2013.10.017
ECB, 2015, Explaining the drivers of the recent increase in oil price volatility, Economic Bulletin, European Central Bank, 20
El-Sharif, 2005, Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Economics, 27, 819, 10.1016/j.eneco.2005.09.002
Ewing, 2010, Estimating volatility persistence in oil prices under structural breaks, The Financial Review, 45, 1011, 10.1111/j.1540-6288.2010.00283.x
Faff, 1999, Oil price risk and the Australian stock market, Journal of Energy Finance and Development, 4, 69, 10.1016/S1085-7443(99)00005-8
Fattouh, 2013, The role of speculation in oil markets: What have we learned so far?, Energy Journal, 34, 7, 10.5547/01956574.34.3.2
Fong, 2002, A Markov switching model of the conditional volatility of crude oil futures prices, Energy Economics, 24, 71, 10.1016/S0140-9883(01)00087-1
Galeano, 2010, Shifts in individual parameters of a GARCH model, Journal of Financial Econometrics, 8, 122, 10.1093/jjfinec/nbp007
Gebka, 2007, Intra- and inter-regional spillovers between emerging capital markets around the world, Research in International Business and Finance, 21, 203, 10.1016/j.ribaf.2006.03.005
Granger, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, 424, 10.2307/1912791
Gujarati, 1995
Hafner, 2006, A Lagrange multiplier test for causality in variance, Economics Letters, 93, 137, 10.1016/j.econlet.2006.04.008
Hamilton, 1983, Oil and the macroeconomy since World War II, Journal of Political Economy, 91, 228, 10.1086/261140
Hillebrand, 2005, Neglecting parameter changes in Garch models, Journal of Econometrics, 129, 121, 10.1016/j.jeconom.2004.09.005
Hong, 2001, A test for volatility spillover with application to exchange rates, Journal of Econometrics, 103, 183, 10.1016/S0304-4076(01)00043-4
Huang, 1996, Energy shocks and financial markets, Journal of Futures Markets, 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q
Huang, 2005, The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model, Energy Economics, 27, 455, 10.1016/j.eneco.2005.03.001
Javed, 2011, Sensitivity of the causality in variance tests to GARCH (1,1) processes, Chilean Journal of Statistics, 6, 49
Jo, 2014, The effects of oil price uncertainty on global real economic activity, Journal of Money, Credit and Banking, 46, 1113, 10.1111/jmcb.12135
Jones, 1996, Oil and the stock markets, The Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x
Kick, 2011
Killian, 2009, The impact of oil price shocks on the U.S. stock market, International Economic Review, 50, 1267, 10.1111/j.1468-2354.2009.00568.x
Lamoureux, 1990, Persistence in variance, structural change, and the GARCH model, Journal of Business & Economic Statistics, 8, 225, 10.1080/07350015.1990.10509794
Lee, 2011, Oil sensitivity and its asymmetric impact on the stock market, Energy, 36, 168, 10.1016/j.energy.2010.10.057
Lu, 2014, Time-varying Granger causality test for applications in global crude, Energy Economics, 42, 289, 10.1016/j.eneco.2014.01.002
Lu, 2016, Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets, Environmental Research, 152, 351, 10.1016/j.envres.2016.07.015
Macovei, 2009
Mantalos, 2010, The effect of spillover on the Granger causality test, Journal of Applied Statistics, 37, 1473, 10.1080/02664760903046094
Nelson, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260
Nomikos, 2011, Forecasting petroleum futures markets volatility: The role of regimes and market conditions, Energy Economics, 33, 321, 10.1016/j.eneco.2010.11.013
OECD, 2016
OECD, 2017
Reuters, 2016
Rodrigues, 2007, Testing for causality in variance under nonstationarity in variance, Economics Letters, 97, 133, 10.1016/j.econlet.2007.02.032
Rosa, 2011, The high-frequency response of exchange rates to monetary policy actions and statements, Journal of Banking and Finance, 35, 478, 10.1016/j.jbankfin.2010.09.008
Sadorsky, 1999, Oil price shocks and stock market activity, Energy Economics, 21, 449, 10.1016/S0140-9883(99)00020-1
Sadorsky, 2014, Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat, Energy Economics, 43, 72, 10.1016/j.eneco.2014.02.014
Sanso, 2004, Testing for change in the unconditional variance of financial time series, Revista de Economia Financiera, 4, 32
Singleton, 2012, Investor flows and the 2008 boom/bust in oil prices, Management Science, 60, 300, 10.1287/mnsc.2013.1756
Soytas, 2011, Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in turkey, Applied Energy, 88, 354, 10.1016/j.apenergy.2010.07.018
Thompson, 2016, Re-examining proliferation drivers in the Middle East
Van Dijk, 2005, Testing for causality in variance in the presence of breaks, Economics Letters, 89, 193, 10.1016/j.econlet.2005.05.029
Wang, 2007, Testing for contagion under asymmetric dynamics: Evidence from the stock markets between us and Taiwan, Physica A, 376, 422, 10.1016/j.physa.2006.10.084
Wang, 2013, Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries, Journal of Comparative Economics, 41, 1220, 10.1016/j.jce.2012.12.004
World Bank, 2016