Volatility spillovers and macroeconomic announcements: evidence from crude oil markets

被引：17

作者：

Belgacem, Aymen ^{[1
]}

Creti, Anna ^{[2
,3
]}

Guesmi, Khaled ^{[4
]}

Lahiani, Amine ^{[1
]}

机构：

[1] Univ Orleans, CNRS, LEO UMR 7322, Orleans, France

[2] Univ Paris 09, LeDA, F-75775 Paris 16, France

[3] Ecole Polytech, F-75230 Paris, France

[4] IPAG Business Sch, IPAG Lab, Dept Finance, Paris, France

来源：

APPLIED ECONOMICS | 2015年 / 47卷 / 28期

关键词：

stock prices; oil prices; macroeconomic announcements; volatility spillovers; G14; G15; C58; ECONOMIC-NEWS; STOCK; PRICES; IMPACT; DYNAMICS; RESPOND; MODEL; BOND;

D O I：

10.1080/00036846.2015.1011316

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor's500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.

引用

页码：2974 / 2984

页数：11

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