Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Kocaarslan, Barış

doi:10.20409/berj.2020.239

Cited by 2 publications

(2 citation statements)

References 47 publications

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“…These results were found in the work of Arouri et al (2011) and Gomes and Chaibi (2014) on the relationship between the oil market and the stock market. Similarly, these results are found in recent work by Dutta et al (2017) and Baris Kocaarslan (2020).…”

Section: Discussionsupporting

confidence: 91%

Transmission of shocks between bond and oil markets

Saadaoui

Saidi

Kriaa

2020

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PurposeThis paper aims at looking into the transmission of shocks between bond and oil markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have been exchanged due to these index returns, it is essential for financial market participants to figure out the mechanism of volatility transmission through time and via these series for the purpose of taking optimal decisions of portfolio allocation. The outcomes drawn reveal an important volatility transmission between sovereign bond and oil indices, with great sensitivity during and after the subprime crisis period.Design/methodology/approachIn this context, we propose our hypotheses. Indeed, our study aims to see whether the financial crisis has been responsible for the sharp drop in oil prices since October 2008. To this end, we suggest, in this paper, the empirical study of the shock transmission between the bond and oil markets, using BEK-GARCH and DCC models. To our knowledge, this is the first document using the BEKK-GARCH and the DCC models in studying the shock transmission between a sovereign bond and oil indices.FindingsWe have noticed that in the event of a disruption in the bond market, oil prices respond to these shocks in the short term. It has also been emphasized, however, that this relationship has exacerbated if the period has extended. This makes us conclude that the financial market situation affects the oil price only throughout the crisis period; and that this situation is causally significant only in the event of a severe crisis, such as those of subprime and sovereign debt.Originality/valueThe global financial system has been going through an acute crisis since mid-2007. This crisis, initially occurred only in the US real estate market, progressively affects the global financial system, and is now becoming a general economic crisis. The objective of this work is to analyze the effects of the current financial market disturbance on oil prices based on econometric models in order to promote the proper functioning of this study.

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Section: Discussionsupporting

confidence: 91%

Transmission of shocks between bond and oil markets

Saadaoui

Saidi

Kriaa

2020

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“…Some behavioral finance researchers (for example, Chun and Ming 2009;Rubaltelli et al 2010) assert that stock market investment requires clear thinking and a rational mind. While some other researchers (for example, Escobari and Jafarinejad 2018;Chen et al 2020;Kocaarslan 2020) suggest stock investors need to be high-risk-takers. Further, Cillo et al (2018) show that national culture moderates the relationship between innovativeness and large individual investors' stock holding decisions.…”

Section: Introductionmentioning

confidence: 99%

Impact of Psychosocial Factors on Sustainability of Stock Investors’ Inclination: A Case of the South Pacific Stock Market

Candauda Arachchige

2024

SLIIT BR

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Previous research has documented that psycho-cognitive resources and socioeconomic status have significant influences on investment behavior in financial assets. Drawing from the positive psychosocial perspective, I hypothesized that positive enterprising personality mediates the influence of individual characteristics on investment behavior. I tested this hypothesis in the Structural Equation Modeling (SEM) framework using a purposive sample of potential stock investors in Fiji. The theoretical framework and analytical procedures, I introduce here, can also be used to discover additional factors influencing investment inclination and then estimate the predictors of stock market investments in other developing countries with similar socioeconomic contexts, for example, Sri Lanka. The results revealed that four latent factors (Intuition, Education and knowledge, Sociocultural norms, and Enterprising personality) are distinct dimensions of investment inclination together with the maturity factor (Age) towards stock investments. The findings could broaden our understanding about the direct and indirect impact of psychosocial characteristics on stock market participation through positive, personal resources such as an enterprising personality. The findings will be useful for financial service providers and regulators in designing educational programs for different levels of maturity, knowledge, and education, to enhance enterprising personality qualities amongst people generally, and inculcate positive attitudes towards stock investments in the young through high school curricula and mass-awareness programs.

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Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Cited by 2 publications

References 47 publications

Transmission of shocks between bond and oil markets

Transmission of shocks between bond and oil markets

Impact of Psychosocial Factors on Sustainability of Stock Investors’ Inclination: A Case of the South Pacific Stock Market

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