Exploring shock and volatility transmission between oil and Chinese industrial raw materials

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buir.contributor.authorSafarzadeh, Omid
dc.citation.epage10en_US
dc.citation.spage1en_US
dc.citation.volumeNumber70en_US
dc.contributor.authorKirkulak-Uludag, B.
dc.contributor.authorSafarzadeh, Omid
dc.date.accessioned2022-02-23T11:38:46Z
dc.date.available2022-02-23T11:38:46Z
dc.date.issued2021-01-07
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe main objective of this paper is to investigate the volatility spillover between oil prices and the Chinese industrial raw materials stock indices including oil, coal, iron and non-ferrous metals. In order to achieve this task, OPEC and WTI oil prices were used as oil benchmarks and several multivariate GARCH models were applied on daily closing prices of stock indices for the period from 2004 through 2014. Among the models, VAR-GARCH model fits the data best. The findings show significant volatility spillover between oil and the Chinese raw materials stock returns. However, the spillover is unidirectional and it is more apparent from past oil shocks to the Chinese raw materials stock returns. This unidirectional spillover can be attributed to the structure of the Chinese stock market, which is slightly integrating into the global stock markets and yet is detached from its own real economy. Moreover, the findings suggest that the conditional correlations of OPEC oil and the Chinese raw materials stock indices are higher than those of WTI oil and stock indices. Overall, the findings have important implications for both portfolio managers and policy makers in terms of risk management.en_US
dc.description.provenanceSubmitted by Esma Aytürk (esma.babayigit@bilkent.edu.tr) on 2022-02-23T11:38:46Z No. of bitstreams: 1 Exploring_shock_and_volatility_transmission_between_oil_and_Chinese_industrial_raw_materials.pdf: 1669384 bytes, checksum: b6d1ff4f64fb913dccd01f26d2d99490 (MD5)en
dc.description.provenanceMade available in DSpace on 2022-02-23T11:38:46Z (GMT). No. of bitstreams: 1 Exploring_shock_and_volatility_transmission_between_oil_and_Chinese_industrial_raw_materials.pdf: 1669384 bytes, checksum: b6d1ff4f64fb913dccd01f26d2d99490 (MD5) Previous issue date: 2021-01-07en
dc.embargo.release2023-01-07
dc.identifier.doi10.1016/j.resourpol.2020.101974en_US
dc.identifier.eissn1873-7641
dc.identifier.issn0301-4207
dc.identifier.urihttp://hdl.handle.net/11693/77585
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.resourpol.2020.101974en_US
dc.source.titleResources Policyen_US
dc.subjectVolatility spilloveren_US
dc.subjectOPEC Oilen_US
dc.subjectChinaen_US
dc.subjectIndustrial raw materialsen_US
dc.titleExploring shock and volatility transmission between oil and Chinese industrial raw materialsen_US
dc.typeArticleen_US

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