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Asymmetric volatility spillovers between crude oil and international financial markets

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  • Wang, Xunxiao
  • Wu, Chongfeng

Abstract

In this paper, we examine asymmetric volatility spillovers between oil and international stock markets in a vector autoregression framework using a directed acyclic graph (DAG) technique. We provide evidence that bad total volatility spillovers dominate the system and change over time, suggesting that a pessimistic mood and uninformed traders who tend to increase volatility dominate in markets. Positive spillovers of oil markets dominated from 2006 to mid-2009, but reversed after mid-2009. Moreover, the spillovers from good volatilities in oil markets to bad volatilities in global stock markets were significantly positive during the economic recovery period. The recent, important economic and political events have influenced asymmetries in volatility spillovers.

Suggested Citation

  • Wang, Xunxiao & Wu, Chongfeng, 2018. "Asymmetric volatility spillovers between crude oil and international financial markets," Energy Economics, Elsevier, vol. 74(C), pages 592-604.
    • Handle: RePEc:eee:eneeco:v:74:y:2018:i:c:p:592-604
    DOI: 10.1016/j.eneco.2018.06.022
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