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The relationship between oil and stock markets is a hot topic, but little research has focused on the time-varying asymmetric volatility spillover in a quantitative manner. In this study, we… Click to show full abstract
The relationship between oil and stock markets is a hot topic, but little research has focused on the time-varying asymmetric volatility spillover in a quantitative manner. In this study, we use a new spillover directional measure and asymmetric spillover measures to investigate the dynamic asymmetric volatility spillover between oil and stock markets during the period of 2007 to 2016. Using the intra-day data of WTI future prices, the SP the results also show strong evidence of asymmetries in volatility shocks between the oil and stock markets due to bad volatility.
Journal Title: Energy Economics
Year Published: 2019
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