Shock and volatility transmission in the oil, US and Gulf equity markets

Malik, Farooq; Hammoudeh, Shawkat

doi:10.1016/j.iref.2005.05.005

Cited by 343 publications

(178 citation statements)

References 25 publications

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“…Other such studies that examine the interdependence between equity markets and oil markets include Hammoudeh and Aleisa (2004), El-Sharif et al (2005), Filis et al (2011). Several related studies investigate a similar question from the perspective of volatility transmission and spillover (Malik and Hammoudeh, 2007, Arouri, 2011, Creti et al, 2013.…”

Section: Introductionmentioning

confidence: 99%

Oil market modelling: A comparative analysis of fundamental and latent factor approaches

Cummins

Dowling

Kearney

2016

International Review of Financial Analysis

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We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial markets. The two approaches, though competing, have not formally been compared as to effectiveness. For a range of short-medium-and long-dated WTI oil futures we test a recently proposed five-factor fundamental model and a Principal Component Analysis latent factor model. Our findings demonstrate that there is no discernible difference between the two techniques in a dynamic setting. We conclude that this infers some advantages in adopting the latent factor approach due to the difficulty in determining a well specified fundamental model.

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Section: Introductionmentioning

confidence: 99%

Oil market modelling: A comparative analysis of fundamental and latent factor approaches

Cummins

Dowling

Kearney

2016

International Review of Financial Analysis

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“…Hammoudeh and Eleisa (2004) analyze the linkages among daily GCC market and oil returns and find that the GCC markets are not closely linked with each other and the oil market, with the exception of Saudi Arabia. On the other hand, Malik and Hammoudeh (2007) document significant volatility transmissions from the oil market to the stock markets in Saudi Arabia, Kuwait, and Bahrain, with a bidirectional spillover relationship only for Saudi Arabia and the oil market, using overlapping trading days with western stock and oil markets.…”

Section: Literature Reviewmentioning

confidence: 95%

Regional and global spillovers and diversification opportunities in the GCC equity sectors

Balcılar

Demirer

Hammoudeh

2015

Emerging Markets Review

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This paper examines the international diversification benefits of bloc-wide equity sectors in the oilrich Gulf Cooperation Council (GCC) countries by comparing alternative spillover models that encompass local, regional and global factors. Some GCC-wide equity sectors/subsectors are found to display segmentation from global markets during periods of high and extreme market volatility, and thus can serve as safe havens for international portfolio investors during such periods. The in-and out-of-sample portfolio analyses further suggest that supplementing global portfolios with positions in the GCC markets yields significant international diversification benefits, consistently offering much improved risk-adjusted returns across the alternative spillover models.JEL Classification: C32, G11, G15

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“…Indeed, they presented that incorporating realistic assumptions regarding to co-movement of prices directly into the hedging strategy yielded substantial rewards in terms of risk reduction. Malik & Hammoudeh (2007) found significant volatility and shock transmission among US equity, Gulf equity and oil markets through a multivariate GARCH technique. Using univariate GARCH models Ewing & Malik (2010) revealed that oil shocks had a strong initial impact on volatility but dissipate very quickly under structural breaks.…”

Section: Literature Reviewmentioning

confidence: 97%

Volatility Transmission between Oil and LME Futures

Park¹

2018

AEF

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This paper investigates the volatility transmission between oil and base metals to assess the possibility of hedge strategy across commodity markets. In order to identify the volatility linkage of oil to the base metals, the bivariate GARCH model is applied using daily returns data period over 2000-2016. It is found that evidence of volatility transmission between oil and base metals is somewhat strong with a 1% significant level. This result suggests the investment idea of commodity hedging strategy of cross-market is important.

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Shock and volatility transmission in the oil, US and Gulf equity markets

Cited by 343 publications

References 25 publications

Oil market modelling: A comparative analysis of fundamental and latent factor approaches

Oil market modelling: A comparative analysis of fundamental and latent factor approaches

Regional and global spillovers and diversification opportunities in the GCC equity sectors

Volatility Transmission between Oil and LME Futures

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