Abstract
In this paper, we use a set of newly introduced implied volatility indexes to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015. The inference on the oil–equity implied volatility relationships depends on Diebold and Yilmaz (2012, 2014, 2015) who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables. We find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi-directional information spillovers between the two markets. However, we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around. The pattern of transmissions is varying over the sample period; however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery.
DOI
10.1016/j.eneco.2016.04.010
Publication Date
2016-04-29
Publication Title
Energy Economics
Volume
57
Publisher
Elsevier BV
ISSN
0140-9883
Embargo Period
2024-11-19
First Page
78
Last Page
93
Recommended Citation
Maghyereh, A., Awartani, B., & Bouri, E. (2016) 'The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes', Energy Economics, 57, pp. 78-93. Elsevier BV: Available at: https://doi.org/10.1016/j.eneco.2016.04.010
Comments
publisher: Elsevier articletitle: The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes journaltitle: Energy Economics articlelink: http://dx.doi.org/10.1016/j.eneco.2016.04.010 content_type: article copyright: © 2016 Elsevier B.V. All rights reserved.