International crude oil futures and Romanian oil companies: volatility, correlations and causality

被引：1
|
作者：
Dinica, Mihai-Cristian [1 ]
Balea, Erica Cristina [1 ]
机构：
[1] Bucharest Univ Econ Studies, Bucharest 010374, Romania
来源：
EMERGING MARKETS QUERIES IN FINANCE AND BUSINESS (EMQ 2013) | 2014年 / 15卷
关键词：
volatility; causality; volatility spillovers; stock markets; STOCK MARKETS; PRICE SHOCKS; COUNTRIES; RETURNS;
D O I：
10.1016/S2212-5671(14)00604-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The understanding of causal relationships between oil and stock markets is an important issue in portfolio management and energy hedging. The paper analyzes the causality between the Brent crude oil futures returns and the returns of the largest Romanian oil company, OMV Petrom (SNP). Using a GARCH model, we also examine the volatility spillovers between the two financial instruments. (C) 2014 The Authors. Published by Elsevier B.V.
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页码：1396 / 1403
页数：8
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