Publication Type
Journal Article
Version
acceptedVersion
Publication Date
1-2019
Abstract
In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times when oil’s trading hours overlap with the US and Saudi Arabian stock markets, the volatility spillover from oil to the stock markets is higher than the other way around. We highlight the importance of taking into consideration the information present during continuous trading hours of oil, especially during simultaneous trading hours with the stock markets. We compare our findings based on our structural VAR with those of a traditional reduced-form VAR, and observe that contemporaneous and intraday effects are necessary to be taken into account since the indirect transmission of volatility occurs through them.
Keywords
Contemporaneous spillovers, Volatility spillovers
Discipline
Agribusiness | Finance and Financial Management | International Economics
Publication
Applied Economics
Volume
51
Issue
4
First Page
329
Last Page
345
ISSN
0003-6846
Identifier
10.1080/00036846.2018.1494811
Publisher
Taylor & Francis (Routledge): SSH Titles
Citation
FINTA, Marinela Adriana; FRIJNS, Bart; and TOURANI-RAD, Alireza.
Volatility spillovers among oil and stock markets in the US and Saudi Arabia. (2019). Applied Economics. 51, (4), 329-345.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5864
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/00036846.2018.1494811
Included in
Agribusiness Commons, Finance and Financial Management Commons, International Economics Commons