MODELLING THE IMPACT OF OIL PRICE FLUCTUATIONS ON VOLATILITY OF STOCK MARKETS

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094677" target="_blank" >RIV/61989100:27510/15:86094677 - isvavai.cz</a>
Result on the web
<a href="https://msed.vse.cz/msed_2015/index" target="_blank" >https://msed.vse.cz/msed_2015/index</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
MODELLING THE IMPACT OF OIL PRICE FLUCTUATIONS ON VOLATILITY OF STOCK MARKETS
Original language description
Volatility can be referred as a measure for variation of financial instrument price over time period. It is well known that shocks in crude oil markets may have significant effects on economic activities in general. In recent years, there is substantial empirical evidence to confirm relationship between volatility of stock markets and changes in crude oil prices. The aim of this paper is to examine effects of crude oil fluctuations on volatility of stock markets. In order to model mutual relationships between oil prices shocks and stock market volatility we utilized the DCC GARCH model. Empirical analysis is provided on illustrative example using sample data from oil-importing countries represented by France and Germany, and oil-exporting countries approximated by British and Russian stock markets. In particular, we consider daily data of CAC40, DAX, FTSE100 and RTS indexes in the period of 2008 - 2014 years. Crude oil prices are represented by daily time series of Brent oil prices. We identified that changes in oil prices may have significant impact on volatility of stock returns over time.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Online Conference Proceedings - 9th International Days of Statistics and Economics
ISBN
978-80-87990-06-3
ISSN
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e-ISSN
neuvedeno
Number of pages
11
Pages from-to
1386-1396
Publisher name
Melandrium
Place of publication
Slaný
Event location
Praha
Event date
Sep 10, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000380530000132

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