Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea

By Rumi Masih, S. Peters, L. D. Mello. 2011

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The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “Similarly, the vector error correction model employed by Masih et al. (2011) shows a profound negative effect of oil volatility on South Korean equities.”
Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, methodology): “As about the total effects, the negative relationship between oil price and stock markets corroborate results of Malik and Hamoudeh (2007) on Gulf stock markets, Oberndorfer (2009) on European stock markets and afterward Masih et al. (2011), and Haug and Sadorsky (2012) on emerging markets.”
Oil shocks and their impact on energy related stocks in China (2012, background): “Masih et al. (2011) estimate a VECM model for Korea and find that oil price and its volatility have a significant impact on the stock market.”
The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015, background): “Masih et al. (2011) reported that the volatility of oil price determines real stock returns.”