Interdependence Between Energy Commodities and Global Stock Indices: A Volatility Transmission Approach
Pritpal Singh Bhullar,
Pradeep Kumar Gupta,
Kiranmai J.
et al.
Abstract:This study aims to investigate the volatility transmission between energy commodities and global stock indices. Two primary energy commodities, Brent crude oil and Natural gas, are considered using monthly data from January 2001 to June 2023. Dynamic conditional correlation–GARCH method has been employed to examine the interdependence between two selected energy commodities and stock indices of India, the United States and Japan. The results show a high degree of interdependence between Brent crude oil and the… Show more
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