On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness

By Mohamed Arouri, Jamel Jouini, Duc Khuong Nguyen. 2012

491 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b9525d82ac0400be341cb515f90318906f72dc8b

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In Economics and Econometrics

Citations in the corpus

Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “To illustrate this, Mensi et al. (2013) and Arouri et al. (2012) find significant volatility spillover effects between the oil market and the US or the European stock markets, respectively.”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “…energy finance, that includes studies such as Arouri and Nguyen (2010), Baur and McDermott (2010), Choi and Hammoudeh (2010), Filis et al. (2011), Arouri et al. (2012), Awartani and Maghyereh (2013), Awartani et al. (2013), Ciner et al. (2013), Creti et al. (2013), Guesmi and Fattoum (2014),…”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “Arouri et al. (2012) use VAR-GARCH models to model volatility dynamics between European equity markets and oil.”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, methodology): “Arouri, Jouini, and Nguyen (2012) investigate volatility spillovers between oil price fluctuations and seven European sector stock returns using a VAR-GARCH approach; they find i) more evidence of spillovers from oil to equity sector returns and ii) optimal portfolio weights and hedge ratios vary…”
Extreme risk spillovers between crude oil and stock markets (2015, background): “…between crude oil futures and the S&P500 stock index from May 1990 to August 2006, and find that when the S&P 500 index was declining extremely, and Chen (2011), Zhu et al. (2011), Arouri et al. (2012), Basher et al. (2012), Jammazi (2012), Li, et al. (2012), Lee et al. (2012), and Ciner (2013).”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “These spillovers have substantially increased during the crisis period under the effects of important financial instability and economic uncertainties (Arouri et al., 2011). Our results are in line with the findings of some studies such as Malik and Hammoudeh (2007), Park and Ratti (2008), Arouri an”