An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model
We investigate the spillover effect between crude oil future prices, crude oil spot prices, and stock index by using the multivariate stochastic volatility model. These tests between each market show the significant Granger causes of spillover effect. More and more evidences show that the crude oil...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/6270525 |
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| author | Jing Zhang Ya-Ming Zhuang Jia-Bao Liu |
| author_facet | Jing Zhang Ya-Ming Zhuang Jia-Bao Liu |
| author_sort | Jing Zhang |
| collection | DOAJ |
| description | We investigate the spillover effect between crude oil future prices, crude oil spot prices, and stock index by using the multivariate stochastic volatility model. These tests between each market show the significant Granger causes of spillover effect. More and more evidences show that the crude oil price has been affected by other financial markets. The oil future played an important role in the energy market. WTI and Brent oil future have more spillover effect than INE oil future. The result shows that S&P stock market is more sensitive to the oil price than Shanghai stock market. The cross-market spillover effect we found can give some advices for the investor of oil and stock market. DIC test shows that DGC-MSV-t is considered effective and more accurate. |
| format | Article |
| id | doaj-art-66040d8483d04797a711261f78d9857d |
| institution | Kabale University |
| issn | 2314-4785 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-66040d8483d04797a711261f78d9857d2025-02-03T01:04:17ZengWileyJournal of Mathematics2314-47852021-01-01202110.1155/2021/6270525An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t ModelJing Zhang0Ya-Ming Zhuang1Jia-Bao Liu2School of FinanceSchool of Economics and ManagementSchool of Mathematics and PhysicsWe investigate the spillover effect between crude oil future prices, crude oil spot prices, and stock index by using the multivariate stochastic volatility model. These tests between each market show the significant Granger causes of spillover effect. More and more evidences show that the crude oil price has been affected by other financial markets. The oil future played an important role in the energy market. WTI and Brent oil future have more spillover effect than INE oil future. The result shows that S&P stock market is more sensitive to the oil price than Shanghai stock market. The cross-market spillover effect we found can give some advices for the investor of oil and stock market. DIC test shows that DGC-MSV-t is considered effective and more accurate.http://dx.doi.org/10.1155/2021/6270525 |
| spellingShingle | Jing Zhang Ya-Ming Zhuang Jia-Bao Liu An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model Journal of Mathematics |
| title | An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model |
| title_full | An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model |
| title_fullStr | An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model |
| title_full_unstemmed | An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model |
| title_short | An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model |
| title_sort | empirical analysis of oil and stock markets volatility based on the dgc msv t model |
| url | http://dx.doi.org/10.1155/2021/6270525 |
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