Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management
By Mohamed Arouri, Jamel Jouini, Duc Khuong Nguyen. 2011
662 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/709a303c7e7fc5cb21f065d81389e155b48801c4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- George Filis
- Stavros Degiannakis *
- Duc Khuong Nguyen
- Perry Sadorsky
- Sang Hoon Kang
- Vipin Arora
- Elie Bouri
- Nikolaos Antonakakis
In Finance
- George Filis
- Stavros Degiannakis *
- Perry Sadorsky
- Sang Hoon Kang
- Duc Khuong Nguyen
- Walid Mensi
- Mohamed Arouri
- David Gabauer
Citations in the corpus
- Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “(2011), Arouri et al. (2011), Arouri and Nguyen (2010), Kilian and Park (2009), Nandha and Faff (2008), Boyer and Filion (2007), El-Sharif et al. (2005) and Hammoudeh and Li (2005).”
- The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “Theycon-form nicely to the strand of literature that fi nds that the main information crosses are from the oil market to equity markets (Arouri et al., 2011; Awartani and Maghyereh, 2013; Bouri, 2015a,b; Bouri and Demirer, 2016; Malik and Hammoudeh, 2007; Malik and Ewing, 2009).”
- Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Arouri et al. (2011a) also focus on several US and European industrial sectors”
- Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, methodology): “…have been used to measure optimal weights and hedging ratios between commodity and other financial markets (e.g. Hammoudeh et al., 2010, 2014; Arouri et al., 2011, 2012, 2015; Mensi et al., 2013; Silvennoinen and Thorp, 2013; Thuraisamy et al., 2013; Sadorsky, 2014; Aboura and Chevallier,…”
- Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “…line of research purports to identify whether there are any volatility spillovers between oil and stock markets, as well as, the direction of these spillovers (see, among others, Chang et al., 2013; Mensi et al., 2013; Arouri et al., 2012, 2011a,b; Malik and Ewing, 2009; Malik and Hammoudeh, 2007).”