Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289750 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Comparative Economic Research. Central and Eastern Europe [ISSN:] 2082-6737 [Volume:] 26 [Issue:] 3 [Year:] 2023 [Pages:] 179-196
Publisher: 
Lodz University Press, Lodz
Abstract: 
Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity markets of the SAARC member countries. The bivariate EGARCH model is used to test for volatility transmission from the oil market to the stock market. It is found that oil price shocks do not significantly impact equity market volatility, except in Bangladesh. Policymakers can use these findings when making policy decisions.
Subjects: 
stock market
oil market
volatility spillovers
information transmission
EGARCH
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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