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A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries

dc.contributor.authorAziz, Tariq
dc.date.accessioned2023-09-29T08:31:58Z
dc.date.available2023-09-29T08:31:58Z
dc.date.issued2023-09-29
dc.identifier.issn1508-2008
dc.identifier.urihttp://hdl.handle.net/11089/48009
dc.description.abstractVolatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.en
dc.description.abstractPrzenoszenie zmienności dostarcza informacji, czy informacje na jednym rynku wpływają na informacje na innym rynku. W niniejszym artykule zbadano, czy zmienność rynku ropy naftowej przenosi się na rynki akcji wybranych krajów SAARC. W badaniu wykorzystano dane z okresu od lutego 2013 r. do września 2019 r. w celu uzyskania zaktualizowanych danych na temat przenoszenia zmienności globalnych cen ropy naftowej na rynki akcji państw członkowskich SAARC. Wykorzystano dwuwymiarowy model EGARCH do testowania przenoszenia zmienności z rynku ropy naftowej na rynek akcji. Należy zauważyć, że szoki cenowe na rynku ropy naftowej nie mają znaczącego wpływu na zmienność na rynkach akcji, z wyjątkiem rynku akcji w Bangladeszu. Decydenci mogą wykorzystać te ustalenia przy podejmowaniu decyzji w obszarze polityki.pl
dc.language.isoen
dc.publisherWydawnictwo Uniwersytetu Łódzkiegopl
dc.relation.ispartofseriesComparative Economic Research. Central and Eastern Europe;3pl
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0
dc.subjectstock marketen
dc.subjectoil marketen
dc.subjectvolatility spilloversen
dc.subjectinformation transmissionen
dc.subjectEGARCHen
dc.subjectgiełdapl
dc.subjectrynek ropy naftowejpl
dc.subjectprzenoszenie zmiennościpl
dc.subjecttransmisja informacjipl
dc.subjectEGARCHpl
dc.titleA Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countriesen
dc.title.alternativePonowna ocena zmienności na rynku ropy naftowej i zmienności na rynku akcji na przykładzie wybranych krajów SAARCpl
dc.typeArticle
dc.page.number179-196
dc.contributor.authorAffiliationPrince Muhammad Bin Fahd University, Finance and Accounting, Khobar, Dhahran Saudi Arabiaen
dc.identifier.eissn2082-6737
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dc.contributor.authorEmailtaziz@pmu.edu.sa
dc.identifier.doi10.18778/1508-2008.26.27
dc.relation.volume26


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