Asymmetric volatility spillovers between world oil prices and stock markets of the G7 countries in the presence of structural breaks

2020 ◽  
Author(s):  
Dimitrios Kartsonakis‐Mademlis ◽  
Nikolaos Dritsakis
Keyword(s):  
Stock Markets ◽  
Structural Breaks ◽  
Oil Prices ◽  
G7 Countries ◽  
Asymmetric Volatility ◽  
Volatility Spillovers

scholarly journals The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region

2022 ◽  
Vol 10 (1) ◽  
pp. 6
Author(s):  
Nassar S. Al-Nassar ◽  
Beljid Makram
Keyword(s):  
Saudi Arabia ◽  
Stock Markets ◽  
Practical Implication ◽  
Mena Region ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Stock Portfolio ◽  
Different Characteristics ◽  
Portfolio Design

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

Modelling asymmetric volatility in oil prices under structural breaks

2017 ◽  
Vol 63 ◽  
pp. 227-233 ◽  
Author(s):  
Bradley T. Ewing ◽  
Farooq Malik
Keyword(s):  
Structural Breaks ◽  
Oil Prices ◽  
Asymmetric Volatility
Sign in / Sign up

Export Citation Format

Share Document