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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Online Conference Proceedings - 9th International Days of Statistics and Economics

ISBN

978-80-87990-06-3

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

11

Strana od-do

1386-1396

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

10. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000380530000132