IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v3y2013i4f3_4_8.html
   My bibliography  Save this article

Volatility Transmission and Conditional Correlation between Oil prices, Stock Market and Sector Indexes: Empirics for Saudi Stock Market

Author

Listed:
  • Ahmed Almohaimeed
  • Nizar Harrathi

Abstract

This paper investigates the volatility transmission effect and conditional correlations among crude oil, stock market and sector stock indexes in Saudi Arabia. Using daily data from January 3, 2009 to March 21, 2012 and VAR-BEKK specification, we find significant volatility transmission between oil prices and Saudi stock market. Furthermore, our findings show that sector stock returns significantly react to oil prices changes. In addition, except telecom sector, the results show the presence of volatility transmission between stock market and sector stock market returns. Our results are important for understanding how oil prices changes affect Saudi stock market. Indeed, our findings offer insights to investors to know how the value of their portfolios may be affected by large variations observed in oil prices. Our results may have crucial implications for market participants whose optimal portfolio decisions and the risk management policy depend on the characteristics and behavior of conditional volatility.

Suggested Citation

  • Ahmed Almohaimeed & Nizar Harrathi, 2013. "Volatility Transmission and Conditional Correlation between Oil prices, Stock Market and Sector Indexes: Empirics for Saudi Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(4), pages 1-8.
    • Handle: RePEc:spt:apfiba:v:3:y:2013:i:4:f:3_4_8
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%203_4_8.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nidhaleddine Ben Cheikh & Sami Ben Naceur & Mr. Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 2018/098, International Monetary Fund.
    2. Abdul Rahman, 2020. "Long run Association of Stock Prices and Crude Oil Prices: Evidence from Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 124-131.
    3. Nevi Danila & Bunyamin & Ahmad Djalaluddin & Yudha Fathony, 2023. "Do Foreign Fund Flows Influence the Stock Market Index? Evidence From Indonesia," SAGE Open, , vol. 13(4), pages 21582440231, October.
    4. Naseem Al Rahahleh & Robert Kao, 2018. "Forecasting Volatility: Evidence from the Saudi Stock Market," JRFM, MDPI, vol. 11(4), pages 1-18, November.
    5. Hani El-Chaarani, 2019. "The Impact of Oil Prices on Stocks Markets: New Evidence During and After the Arab Spring in Gulf Cooperation Council Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 9(4), pages 214-223.
    6. Yassin Eltahir & Hussien Omer Osman & Osama Azmi Sallam & Fethi Klabi, 2019. "Short Run and Long Run Relationships between Saudi Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 9(1), pages 193-196.
    7. Shabbir Ahmad, 2019. "The Impact of Oil Price Uncertainty on Stock Returns in Gulf Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 9(6), pages 447-452.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:apfiba:v:3:y:2013:i:4:f:3_4_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.