How to cite this paper
Kondoz, M., Bora, I., Kirikkaleli, D & Athari, S. (2019). Testing the volatility spillover between crude oil price and the U.S. stock market returns.Management Science Letters , 9(8), 1221-1230.
Refrences
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Anand, B., Paul, S., & Ramachandran, M. (2014). Volatility spillover between oil and stock market re-turns. Indian Economic Review, 37-56.
Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539.
Baba, Y., Engle, R. F., Kraft, D. F., & Kroner, K. F. (1990). Multivariate simultaneous generalized ARCH. Manuscript, University of California, San Diego, Department of Economics.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of economet-rics, 31(3), 307-327.
Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregres-sions. International Economic Review, 25, 459-484.
Buyuksahin, B., & Robe, M. A. (2012). Speculators, Commodities and Cross-Market Linkages. SSRN.
Chen, W., Hamori, S., & Kinkyo, T. (2014). Macroeconomic impacts of oil prices and underlying finan-cial shocks. Journal of International Financial Markets, Institutions and Money, 29, 1-12.
Ciner, C. (2001). Energy shocks and financial markets: nonlinear linkages. Studies in Nonlinear Dynamics & Econometrics, 5(3), 203-212.
Ciner, C. (2013). Oil and stock returns: Frequency domain evidence. Journal of International Financial Markets, Institutions and Money, 23, 1-11.
Cong, R. G., Wei, Y. M., Jiao, J. L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553.
Creti, A., Joëts, M., & Mignon, V. (2013). On the links between stock and commodity markets' volatili-ty. Energy Economics, 37, 16-28.
Cuñado, J., & de Gracia, F. P. (2003). Do oil price shocks matter? Evidence for some European coun-tries. Energy economics, 25(2), 137-154.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics, 27(6), 819-830.
Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: A focus on frontier markets. Journal of Applied Business Research, 30(2), 509.
Jacquinot, P., Kuismanen, M., Mestre, R., & Spitzer, M. (2009). An assessment of the inflationary impact of oil shocks in the euro area. The Energy Journal, 30(1), 49.
Jammazi, R., & Aloui, C. (2010). Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns. Energy Policy, 38(3), 1415-1435.
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The journal of Finance, 51(2), 463-491.
Karunanayake, I., Valadkhani, A., & O'Brien, M. J. (2009). Financial crises and stock market volatility transmission: evidence from Australia, Singapore, the UK, and the US.
Khalfaoui, R., Boutahar, M., & Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis. Energy Economics, 49, 540-549.
Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Eco-nomic Review, 50(4), 1267-1287.
Kloner, D. (2001). The commodity futures modernization act of 2000. Securities Regulation Law Jour-nal, 29(3), 286-297.
Lombardi, M. J., & Ravazzolo, F. (2016). On the correlation between commodity and equity returns: im-plications for portfolio allocation. Journal of Commodity Markets, 2(1), 45-57.
Malik, F., & Ewing, B. T. (2009). Volatility transmission between oil prices and equity sector re-turns. International Review of Financial Analysis, 3(18), 95-100.
Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics & Finance, 16(3), 357-368.
Nazlioglu, S., Soytas, U., & Gupta, R. (2015). Oil prices and financial stress: A volatility spillover analy-sis. Energy Policy, 82, 278-288.
Olson, M. (1988). The productivity slowdown, the oil shocks, and the real cycle. Journal of Economic Perspectives, 2(4), 43-69.
Özer, A. (2017). Volatility spillovers between oil prices and stock returns: Developed and Developing Countries Case. International Journal of Management Economics and Business, ICMEB17 Special Is-sue, 654-662.
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy economics, 21(5), 449-469.
Stoll, H. R., & Whaley, R. E. (2009). Commodity Index Investing and Commodity Futures Prices. Nash-ville U.S.A: Vanderbilt University.
Wei, C. C., & Chen, C. H. (2014). Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?. International Journal of Energy Economics and Policy, 4(2), 189-197.
Anand, B., Paul, S., & Ramachandran, M. (2014). Volatility spillover between oil and stock market re-turns. Indian Economic Review, 37-56.
Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539.
Baba, Y., Engle, R. F., Kraft, D. F., & Kroner, K. F. (1990). Multivariate simultaneous generalized ARCH. Manuscript, University of California, San Diego, Department of Economics.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of economet-rics, 31(3), 307-327.
Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregres-sions. International Economic Review, 25, 459-484.
Buyuksahin, B., & Robe, M. A. (2012). Speculators, Commodities and Cross-Market Linkages. SSRN.
Chen, W., Hamori, S., & Kinkyo, T. (2014). Macroeconomic impacts of oil prices and underlying finan-cial shocks. Journal of International Financial Markets, Institutions and Money, 29, 1-12.
Ciner, C. (2001). Energy shocks and financial markets: nonlinear linkages. Studies in Nonlinear Dynamics & Econometrics, 5(3), 203-212.
Ciner, C. (2013). Oil and stock returns: Frequency domain evidence. Journal of International Financial Markets, Institutions and Money, 23, 1-11.
Cong, R. G., Wei, Y. M., Jiao, J. L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553.
Creti, A., Joëts, M., & Mignon, V. (2013). On the links between stock and commodity markets' volatili-ty. Energy Economics, 37, 16-28.
Cuñado, J., & de Gracia, F. P. (2003). Do oil price shocks matter? Evidence for some European coun-tries. Energy economics, 25(2), 137-154.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics, 27(6), 819-830.
Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: A focus on frontier markets. Journal of Applied Business Research, 30(2), 509.
Jacquinot, P., Kuismanen, M., Mestre, R., & Spitzer, M. (2009). An assessment of the inflationary impact of oil shocks in the euro area. The Energy Journal, 30(1), 49.
Jammazi, R., & Aloui, C. (2010). Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns. Energy Policy, 38(3), 1415-1435.
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The journal of Finance, 51(2), 463-491.
Karunanayake, I., Valadkhani, A., & O'Brien, M. J. (2009). Financial crises and stock market volatility transmission: evidence from Australia, Singapore, the UK, and the US.
Khalfaoui, R., Boutahar, M., & Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis. Energy Economics, 49, 540-549.
Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Eco-nomic Review, 50(4), 1267-1287.
Kloner, D. (2001). The commodity futures modernization act of 2000. Securities Regulation Law Jour-nal, 29(3), 286-297.
Lombardi, M. J., & Ravazzolo, F. (2016). On the correlation between commodity and equity returns: im-plications for portfolio allocation. Journal of Commodity Markets, 2(1), 45-57.
Malik, F., & Ewing, B. T. (2009). Volatility transmission between oil prices and equity sector re-turns. International Review of Financial Analysis, 3(18), 95-100.
Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics & Finance, 16(3), 357-368.
Nazlioglu, S., Soytas, U., & Gupta, R. (2015). Oil prices and financial stress: A volatility spillover analy-sis. Energy Policy, 82, 278-288.
Olson, M. (1988). The productivity slowdown, the oil shocks, and the real cycle. Journal of Economic Perspectives, 2(4), 43-69.
Özer, A. (2017). Volatility spillovers between oil prices and stock returns: Developed and Developing Countries Case. International Journal of Management Economics and Business, ICMEB17 Special Is-sue, 654-662.
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy economics, 21(5), 449-469.
Stoll, H. R., & Whaley, R. E. (2009). Commodity Index Investing and Commodity Futures Prices. Nash-ville U.S.A: Vanderbilt University.
Wei, C. C., & Chen, C. H. (2014). Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?. International Journal of Energy Economics and Policy, 4(2), 189-197.