The effects of oil price shocks on stock market volatility: evidence from European data
The effects of oil price shocks on stock market volatility: evidence from European data
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current-and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short-and long-run volatility models supports the findings.
conditional volatility, Realised volatility, Implied volatility, Oil price shocks, SVAR
35-56
Degiannakis, Stavros
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Filis, George
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Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
1 January 2014
Degiannakis, Stavros
a3eafe52-dfdc-4abc-97a3-b9ab4bfab701
Filis, George
0a11b1dc-f5e4-4384-8964-5b9c37dd29ef
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Degiannakis, Stavros, Filis, George and Kizys, Renatas
(2014)
The effects of oil price shocks on stock market volatility: evidence from European data.
The Energy Journal, 35 (1), .
(doi:10.5547/01956574.35.1.3).
Abstract
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current-and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short-and long-run volatility models supports the findings.
Text
KIZYS_2014_cright_EJ_The_Effects_of_Oil_Price_Shocks_on_Stock_Market_Volatility
- Accepted Manuscript
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e-pub ahead of print date: 1 January 2014
Published date: 1 January 2014
Keywords:
conditional volatility, Realised volatility, Implied volatility, Oil price shocks, SVAR
Identifiers
Local EPrints ID: 434030
URI: http://eprints.soton.ac.uk/id/eprint/434030
ISSN: 0195-6574
PURE UUID: 8327f7db-df96-47a6-969e-87d08ccc7fb2
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Date deposited: 11 Sep 2019 16:30
Last modified: 06 Jun 2024 02:06
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Contributors
Author:
Stavros Degiannakis
Author:
George Filis
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