Volatility spillovers among oil and stock markets in the US and Saudi Arabia

• Main Authors: FINTA, Marinela Adriana, FRIJNS, Bart, TOURANI-RAD, Alireza
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Contemporaneous spillovers; Volatility spillovers; Agribusiness; Finance and Financial Management; International Economics
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5864; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6863/viewcontent/Volatility_spillovers_among_oil_and_stock_markets_in_the_US_and_Saudi_Arabia.pdf
• Institution: Singapore Management University

In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times w...