VOLATILITY TRANSMISSION BETWEEN CRUDE OIL PRICES AND INDIAN EQUITY SECTOR RETURNS
(1391/12/4) - oil price - Member

Anand.B

Key Words: Crude oil, Nifty index, Bivariate GARCH, BEKK

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Abstract
The oil price in the international market has witnessed significant fluctuations in the recent years and such fluctuations tend to have ramifications on various segments of stock market returns. Hence, it is crucial for the policy makers and market participant to identify the spill over between the oil price volatility and volatility of stock returns across various sectors. In this regard, this paper makes an attempt to model such volatility spill over from oil price to various segments of stock market, using a version of bivariate GARCH model. The empirical evidence suggests that there is significant transmission of shocks and volatility between international crude oil prices and stock returns of various sectors.

other

ایمیل: fsharbafian@energyseec.com
وب سایت: www.energyseec.com
1
شنبه 21 تير 1399
ورود اعضا
 
ورود اعضاء
نام کاربري:
کلمه عبور:
عضوبت و استفاده از خدمات سايت
عضويت در کنسرسيوم

 


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آمار بازديدکنندگان: بازدید این صفحه: 280 مرتبه نمایش این صفحه: 300 مرتبه
  بازدید کل سایت: 1977 مرتبه نمایش کل سایت: 2022 مرتبه