Oil Price Volatility and Stock Price Volatility: Evidence from Nigeria
نویسندگان
چکیده
منابع مشابه
Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea
How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity, real stock returns, real oil prices and oil price volatility. Results indicate the dominance of oil p...
متن کاملForecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملPrice Common Volatility or Volume Common Volatility? Evidence from Taiwan’s Exchange Rate and Stock Markets
This paper investigates the common volatility structure of Taiwan’s stock and exchange rate markets. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the two markets. The unrestricted trading vo...
متن کاملPrice limits and stock market volatility *
We examine the relationship between price limits and stock market volatility. We find when price limits are made more (less) restrictive stock market volatility is usually not lower (higher). This finding contradicts conventional wisdom and the view of most regulators. 2001 Elsevier Science B.V. All rights reserved.
متن کاملMarket Dynamics And Stock Price Volatility
This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Academic Journal of Interdisciplinary Studies
سال: 2015
ISSN: 2281-3993,2281-4612
DOI: 10.5901/mjss.2015.v4n1p253