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Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu

This study employs BEKK-GARCH and VAR-GARCH models to examine shock and volatility transmission between oil prices and stock return in oil-importing and oilexporting countries, include the United States, China, Saudi Arabia, Malaysia and the Brent oil market. The data series uses daily, weekly and m...

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Main Author: Atu, Nurul Nazurah
Format: Thesis
Language:English
Published: 2018
Online Access:https://ir.uitm.edu.my/id/eprint/84269/1/84269.pdf
https://ir.uitm.edu.my/id/eprint/84269/
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spelling my.uitm.ir.842692024-02-19T04:05:59Z https://ir.uitm.edu.my/id/eprint/84269/ Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu Atu, Nurul Nazurah This study employs BEKK-GARCH and VAR-GARCH models to examine shock and volatility transmission between oil prices and stock return in oil-importing and oilexporting countries, include the United States, China, Saudi Arabia, Malaysia and the Brent oil market. The data series uses daily, weekly and monthly data basis from January 1,2004 until December 31, 2014. Empirical results show that before structural breaks, there are both consistent and also contradictory results based on daily, weekly and monthly basis for each stock market index using both models. Similarly, there are inconsistent findings after structural breaks. The results show that there are unidirectional and also bidirectional shocks and volatility transmission occur between oil prices and stock returns. 2018 Thesis NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/84269/1/84269.pdf Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu. (2018) Masters thesis, thesis, Universiti Teknologi MARA (UiTM).
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
description This study employs BEKK-GARCH and VAR-GARCH models to examine shock and volatility transmission between oil prices and stock return in oil-importing and oilexporting countries, include the United States, China, Saudi Arabia, Malaysia and the Brent oil market. The data series uses daily, weekly and monthly data basis from January 1,2004 until December 31, 2014. Empirical results show that before structural breaks, there are both consistent and also contradictory results based on daily, weekly and monthly basis for each stock market index using both models. Similarly, there are inconsistent findings after structural breaks. The results show that there are unidirectional and also bidirectional shocks and volatility transmission occur between oil prices and stock returns.
format Thesis
author Atu, Nurul Nazurah
spellingShingle Atu, Nurul Nazurah
Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
author_facet Atu, Nurul Nazurah
author_sort Atu, Nurul Nazurah
title Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
title_short Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
title_full Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
title_fullStr Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
title_full_unstemmed Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
title_sort shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / nurul nazurah atu
publishDate 2018
url https://ir.uitm.edu.my/id/eprint/84269/1/84269.pdf
https://ir.uitm.edu.my/id/eprint/84269/
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score 13.211869

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