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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
http://hdl.handle.net/2261/33412
http://hdl.handle.net/2261/3341249d3d939-9a53-4a6d-a40f-4dde5c11c08c
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Multivariate GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | volatility spillovers | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | crude oil prices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spot | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forward and futures prices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | stock indices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: C22, C32, G17, G32. | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Tansuchat, Roengchai
× Tansuchat, Roengchai× Chang, Chia-Lin× McAleer, Michael |
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| 著者所属 | ||||||
| 著者所属 | Faculty of Economics Maejo University, Thailand | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Applied Economics National Chung Hsing University, Taiwan | |||||
| 著者所属 | ||||||
| 著者所属 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow Jones and S&P500 index returns, are analysed using the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), VARMAAGARCH model of McAleer, Hoti and Chan (2008), and DCC model of Engle (2002). Based on the CCC model, the estimates of conditional correlations for returns across markets are very low, and some are not statistically significant, which means the conditional shocks are correlated only in the same market and not across markets. However, the DCC estimates of the conditional correlations are always significant. This result makes it clear that the assumption of constant conditional correlations is not supported empirically. Surprisingly, the empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the crude oil and financial markets. The evidence of asymmetric effects of negative and positive shocks of equal magnitude on the conditional variances suggests that VARMA-AGARCH is superior to VARMA-GARCH and CCC. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Forthcoming in Journal of Energy Markets. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-706, 発行日 2010-01 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf706ab.html | |||||
