Original paper
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
Abstract
The objective of this paper is to investigate the volatility spillovers between oil and stock markets in Europe. As not all industries are expected to be equally affected by oil price changes, we conduct our study at both the aggregate as well as sector levels. Empirically, we make use of a recently developed VAR–GARCH approach which allows for transmissions in volatilities. In addition, we analyze the optimal weights and hedge ratios for...
Paper Details
Title
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
Published Date
Mar 1, 2012
Journal
Volume
34
Issue
2
Pages
611 - 617
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Notes
History