COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

Authors

  • Siok Kun Sek School of Mathematical Sciences, Universiti Sains Malaysia, Faculty of Accountancy & Management, Universiti Tunku Abdul Rahman, Malaysia
  • Zhan Jian Ng School of Mathematical Sciences, Universiti Sains Malaysia, Faculty of Accountancy & Management, Universiti Tunku Abdul Rahman, Malaysia
  • Wai Mun Har School of Mathematical Sciences, Universiti Sains Malaysia, Faculty of Accountancy & Management, Universiti Tunku Abdul Rahman, Malaysia

DOI:

https://doi.org/10.11113/jt.v77.6543

Keywords:

Oil price shock, stock return, multivariate GARCH, persistency of shock

Abstract

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

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Published

2015-12-01

How to Cite

Kun Sek, S., Jian Ng, Z., & Mun Har, W. (2015). COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS. Jurnal Teknologi, 77(20). https://doi.org/10.11113/jt.v77.6543