[ Transmission de volatilité entre les prix du pétrole et les rendements boursiers : Modélisation VAR-GARCH-DCC ]
Volume 6, Issue 1, May 2014, Pages 76–89
Montassar Zayati1, Sonia Ben said2, and Bellalah Makram3
1 Département des méthodes Quantitatives, UR « Tourisme et développement », FSEG Sousse, Tunisia
2 Département de Gestion : option Finance, Université de Picardie Jules Verne, École Doctorale en Sciences Humaines et Sociales, Laboratoire CRIISEA, France
3 Université de Picardie Jules Verne, Laboratoire CRIISEA, France
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Dynamic Links of transmission return and volatility in the capital markets are of crucial interest to the financial community with the growing trend of financial globalization in the world. This article focuses on the links of return and volatility's transmission between oil markets and stock to a panel of seven countries among the MENA region and Europe over the period 2003-2013. We use a recent approach (VAR-GARCH-DCC) which allows transmissions of return and volatility. Overall, our results suggest the existence of significant returns and reversal volatilities between change of oil price and financial markets. Direct transmission of conditional volatility across markets is, however, more evident from oil to the stock markets. The empirical results of optimal weights validated by a positive coefficient of constant conditional correlation (CCC), indicates that investors can benefit from the added oil prices in a well-diversified equity portfolio. On the whole, to the extent that the transmission of the shock is concerned, changes in oil prices tend to affect significantly but negatively several stock markets in our sample, while the impact of these markets on oil prices is almost absent. In addition, the effect of oil shocks is more pronounced during the crisis period than normal, suggesting that the recent global financial crisis has increased the transmission of shocks of oil on stock markets.
Author Keywords: Oil prices, stock markets, dynamic conditional correlation, return, volatility, VAR.
Volume 6, Issue 1, May 2014, Pages 76–89
Montassar Zayati1, Sonia Ben said2, and Bellalah Makram3
1 Département des méthodes Quantitatives, UR « Tourisme et développement », FSEG Sousse, Tunisia
2 Département de Gestion : option Finance, Université de Picardie Jules Verne, École Doctorale en Sciences Humaines et Sociales, Laboratoire CRIISEA, France
3 Université de Picardie Jules Verne, Laboratoire CRIISEA, France
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
Dynamic Links of transmission return and volatility in the capital markets are of crucial interest to the financial community with the growing trend of financial globalization in the world. This article focuses on the links of return and volatility's transmission between oil markets and stock to a panel of seven countries among the MENA region and Europe over the period 2003-2013. We use a recent approach (VAR-GARCH-DCC) which allows transmissions of return and volatility. Overall, our results suggest the existence of significant returns and reversal volatilities between change of oil price and financial markets. Direct transmission of conditional volatility across markets is, however, more evident from oil to the stock markets. The empirical results of optimal weights validated by a positive coefficient of constant conditional correlation (CCC), indicates that investors can benefit from the added oil prices in a well-diversified equity portfolio. On the whole, to the extent that the transmission of the shock is concerned, changes in oil prices tend to affect significantly but negatively several stock markets in our sample, while the impact of these markets on oil prices is almost absent. In addition, the effect of oil shocks is more pronounced during the crisis period than normal, suggesting that the recent global financial crisis has increased the transmission of shocks of oil on stock markets.
Author Keywords: Oil prices, stock markets, dynamic conditional correlation, return, volatility, VAR.
Abstract: (french)
Cet article étudie les liens de rendement et de transmission de volatilité entre les marchés du pétrole et des actions pour un panel de 7 pays parmi les pays de la zone MENA et d'Europe sur la période 2003-2013. Nous employons une approche VAR-GARCH généralisée et DCC-GARGH récente qui permet des transmissions en rendement et de volatilité. Dans l'ensemble, nos résultats indiquent l'existence de rendements significatifs et de renversement de volatilités entre la variation du prix pétrole et les marchés des actions. La transmission directe de volatilité conditionnelle à travers des marchés est, cependant, plus évidente du pétrole vers les marchés boursiers. Les résultats empiriques des pondérations optimaux, validés par un coefficient positif des corrélations conditionnelles constantes (CCC), indiquent que les investisseurs peuvent tirer bénéfice d'ajouter le cours de pétrole dans un portfolio bien-diversifié d'actions. Dans l'ensemble, dans la mesure où la transmission du choc est concernée, l'évolution des prix pétroliers ont tendance à affecter significativement mais négativement plusieurs marchés boursiers de notre échantillon, tandis que l'impact de ces marchés sur les cours du pétrole est presque absent. En outre, l'effet des chocs pétroliers est plus prononcé pendant la période de crise que celle normale, ce qui semble indiquer que la récente crise financière mondiale a intensifié la transmission des chocs du pétrole sur les marchés boursiers.
Author Keywords: prix de pétrole, marché financier, corrélation conditionnelle dynamique, rendement, volatilité, VAR-GARCH-DCC.
How to Cite this Article
Montassar Zayati, Sonia Ben said, and Bellalah Makram, “Volatility's Transmission between oil prices and stock returns: Modeling VAR-GARCH-DCC,” International Journal of Innovation and Applied Studies, vol. 6, no. 1, pp. 76–89, May 2014.
