Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods

Bouri, Elie

doi:10.1016/j.energy.2015.05.121

Cited by 116 publications

(75 citation statements)

References 37 publications

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“…They conform nicely to the strand of literature that finds that the main information crosses are from the oil market to the other equity markets (Arouri et al 2011;Bouri, 2015a;Bouri, 2015b;Bouri and Demirer, 2016;Malik and Hammoudeh, 2007;Malik and Ewing, 2009). However we are different from all in terms of methothodology and in that we focus on the linkages of implied volatlities that are used to price oil and equity option.…”

supporting

confidence: 57%

“…Hence, the oil-equity research 9 See Maghyereh (2004), Maghyereh and Al-Kandari (2007), Kilian (2008), Nandha and Faff (2008), Cong et al(2008), Chen (2010), Arouri and Rault (2012), El-Sharif et al(2005), Apergis and Miller (2009), Driesprong et al (2008) Park and Ratti (2008, Hammoudeh and Aleisa (2004), Bachmeier (2008), Sari et al (2010), , Mollick and Assefa (2013), Bouri (2015a), Bouri (2015b), Tsai (2015) and Bouri and Demirer (2016) among many others. M A N U S C R I P T…”

Section: Literature Reviewmentioning

confidence: 99%

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The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

2016

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In this paper, we use a set of newly introduced implied volatility indices to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015. The inference on the oil-equity implied volatility relationships depends on Diebold and Yilmaz (2012, 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables. We find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi-directional information spillovers between the two markets. However, we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around. The pattern of transmissions is varying over the sample period; however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery.Keywords: Oil price volatility; equity market volatility; directional connectedness; implied volatility indexes. JEL Classification: C1, G1. A C C E P T E D M A N U S C R I P T ACCEPTED MANUSCRIPT 2The directional volatility connectedness between crude oil and equity markets: new evidence from implied volatility indexes AbstractIn this paper, we use a set of newly introduced implied volatility indices to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015. The inference on the oil-equity implied volatility relationships depends on Diebold and Yilmaz (2012, 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables. We find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi-directional information spillovers between the two markets. However, we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around. The pattern of transmissions is varying over the sample period; however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery.

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supporting

confidence: 57%

Section: Literature Reviewmentioning

confidence: 99%

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

2016

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“…Figure 3 plots the trend in the average CARs for three types of OPEC announcements. According to existing literature, the result that the price reactions to announcements are generally not significant could not be related to the choice of commodity index [38][39][40][41][42][43][44]. This phenomenon could be correlated with OPEC's market power.…”

Section: The Reaction Of Oil Price To Announcementsmentioning

confidence: 96%

The Oil Market Reactions to OPEC’s Announcements

2019

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Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.

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“…Jouini (2013) shows the return and volatility transmission between oil price and stocks in Saudi Arabia. In a similar vein, Bouri (2015) finds volatility transmission from oil prices to the Lebanese stock market with varying transmission effect in analyzed sub-periods. Aloui et al (2012) find a positive correlation between stock prices and oil price movements in especially emerging economies.…”

Section: Business and Economics Research Journal 9(2):271-289 2018mentioning

confidence: 87%

The Impact of Oil Price Shocks on Sector Indices: Evidence from Borsa İstanbul

Vardar¹,

Kurt-Gumus²,

Delice³

2018

berj

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Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods

Cited by 116 publications

References 37 publications

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

The Oil Market Reactions to OPEC’s Announcements

The Impact of Oil Price Shocks on Sector Indices: Evidence from Borsa İstanbul

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