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Shock And Volatility Spillovers Between Oil And Some Balkan Stock Markets

Author

Listed:
  • Muzammil KURSHID

    (Dokuz Eylul University, Faculty of Business)

  • Berna Kirkulak ULUDAG

    (Corresponding author. Dokuz Eylul University, Faculty of Business)

Abstract

In this paper, we examine the volatility spillover between WTI oil and four Balkan stock markets (Romania, Bulgaria, Greece and Turkey). We also analyze the optimal weights and hedge ratios for oil-stock portfolio holdings and show how empirical results can be used to build effective hedging strategy. We used VAR-GARCH model during the period from 20 October 2000 to 08 February 2016. The findings show significant evidence of shock and volatility linkages between oil and Balkan stock markets. In particular, past oil shocks play a crucial role in explaining the dynamics of conditional return and volatility in Balkan stock markets. Moreover, the portfolio analysis suggests that adding oil to a portfolio of Balkan stocks can help to hedge effectively against stock risk exposure over time.

Suggested Citation

  • Muzammil KURSHID & Berna Kirkulak ULUDAG, 2017. "Shock And Volatility Spillovers Between Oil And Some Balkan Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-59, December.
    • Handle: RePEc:rjr:romjef:v::y:2017:i:4:p:47-59
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    References listed on IDEAS

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    5. Dejan Živkov & Jovan Njegiæ & Mirela Momèiloviæ, 2018. "Bidirectional spillover effect between Russian stock index and the selected commodities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(1), pages 29-53.

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    More about this item

    Keywords

    transmission; VAR-GARCH; hedge ratio;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F3 - International Economics - - International Finance
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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