Sökning: "Oil price shocks"

Visar resultat 21 - 25 av 31 uppsatser innehållade orden Oil price shocks.

  1. 21. The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Duc Hong Hoang; [2015]
    Nyckelord :China; South Korea; Japan; volatility; GARCH MIDAS; inflation; industrial production; oil price shocks; Business and Economics;

    Sammanfattning : This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. LÄS MER

  3. 22. Oil Price Shocks and Stock Market Returns: A study on Portugal, Ireland, Italy, Greece and Spain.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anette Brose Olsen; Paul Henriz; [2014]
    Nyckelord :Oil Price Shock; Stock Market Returns; Unit Root; Vector Autoregressive model; Variance Decomposition; Impulse Response; Business and Economics;

    Sammanfattning : Following the oil price shocks of the 1970s, a great deal of research has been focused on the relationship between oil price changes and macroeconomic variables. However, the body of literature focusing on oil price shocks and stock markets are more limited. LÄS MER

  4. 23. “To what extent are stock returns driven by mean and volatility spillover effects”?-Evidence from eight European stock markets

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Abdulla Alikhanov; [2012]
    Nyckelord :oil price; mean; emerging markets; volatility spillovers; E.U; the U.S; Stock markets; exchange rates; asymmetric effects.; Business and Economics;

    Sammanfattning : The paper investigates the mean and volatility spillover effects from U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from global US, regional EU, and world factor oil towards individual stock markets. LÄS MER

  5. 24. Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysis

    Magister-uppsats, Nationalekonomi

    Författare :Muhammad Akram; [2012]
    Nyckelord :Oil price shocks; Economic growth; Vector Autoregressive; Impulse response function; Wald Granger causality test;

    Sammanfattning : This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). LÄS MER

  7. 25. Return and Volatility Spillover from Oil to Equity Market

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andreas Lundgren; [2011]
    Nyckelord :Return Spillover; Volatility Spillover; Oil Volatility; Oil Returns; GJR-GARCH; Asymmetric Oil Effects.; Business and Economics;

    Sammanfattning : In this essay a four stage GJR-GARCH(1,1) model is applied to test the presence of both return and volatility spillover to the European market from the oil market. The GJR-GARCH-model allow for asymmetric effects to be present in the country specific stock market. LÄS MER