Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia

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dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0003-1556-803X
dc.authorid0000-0002-3865-5868
dc.authorscopusid26653963900
dc.authorscopusid8873464300
dc.authorscopusid57193010383
dc.authorscopusid57218420462
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorAwad Abdallah, Atif
dc.contributor.authorAl-Eisa, Eisa Abdulrahman
dc.date.accessioned2022-05-11T14:33:33Z
dc.date.available2022-05-11T14:33:33Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis work reinvestigates the interrelationship between crude oil prices and stock market returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by second-moment effects. Using weekly data from 2001 to 2018 and time-varying causality-in-mean and causality-in-variance tests and taking into account structural breaks, we model each series as an APARCH process to capture any leverage effects in the volatility of returns. Empirical results suggest the existence of a bidirectional causality relationship between stock and oil performance series. While we fail to document significant spillover effects stemming from the stock market to the oil market, we detected substantial spillover effects running from crude oil price changes to stock market returns. We also find evidence in favor of the presence of risk spillovers between crude oil price and stock market. In this context, unexpected loses in the oil market can be predicted by using sudden past declines in the Saudi Arabian stock market and a substantial increase in the oil price seems to have significant predictive power for a rise in the stock market in the future. These results suggest that government policies must take into account risk spillover effects between markets and that investors are better off monitoring crude oil markets in portfolio allocation decisions.
dc.identifier.doi10.1007/s10368-020-00484-0
dc.identifier.endpage175
dc.identifier.issn1612-4804
dc.identifier.issn1612-4812
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85089160127
dc.identifier.scopusqualityN/A
dc.identifier.startpage157
dc.identifier.urihttps://doi.org/10.1007/s10368-020-00484-0
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7797
dc.identifier.volume18
dc.identifier.wosWOS:000558424200001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherSpringer Heidelberg
dc.relation.ispartofInternational Economics and Economic Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectVolatility spillovers
dc.subjectOil prices
dc.subjectStock market returns
dc.subjectAPARCH
dc.subjectGranger Causality
dc.subjectEnergy Shocks
dc.subjectCrude-Oil
dc.subjectVariance
dc.subjectCountries
dc.subjectRisk
dc.subjectPerformance
dc.subjectFutures
dc.subjectCrisis
dc.subjectImpact
dc.titleOil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
dc.typeArticle

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