کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7350172 1476689 2018 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric volatility spillovers between crude oil and international financial markets
ترجمه فارسی عنوان
ناپایداری نامتقارن بین نفت خام و بازارهای مالی بین المللی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
In this paper, we examine asymmetric volatility spillovers between oil and international stock markets in a vector autoregression framework using a directed acyclic graph (DAG) technique. We provide evidence that bad total volatility spillovers dominate the system and change over time, suggesting that a pessimistic mood and uninformed traders who tend to increase volatility dominate in markets. Positive spillovers of oil markets dominated from 2006 to mid-2009, but reversed after mid-2009. Moreover, the spillovers from good volatilities in oil markets to bad volatilities in global stock markets were significantly positive during the economic recovery period. The recent, important economic and political events have influenced asymmetries in volatility spillovers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 74, August 2018, Pages 592-604
نویسندگان
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