On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness

Energy Economics

Volumn 34, Issue 2, 2012, Pages 611-617

  Arouri, Mohamed El Hedi ^a   Jouini, Jamel ^b   Nguyen, Duc Khuong ^c  

^a EDHEC BUSINESS SCHOOL   (France)

^b UNIVERSITY OF CARTHAGE   (Tunisia)

^c UPS3611   (France)

Author keywords

Hedge ratios; Oil prices; Sector returns; VAR GARCH models

Indexed keywords

EQUITY MARKETS; HEDGE RATIO; OIL PRICE CHANGES; OIL PRICES; OPTIMAL WEIGHT; PORTFOLIO MANAGEMENTS; SECTOR RETURNS; STOCK MARKET; STOCK RETURNS; VAR-GARCH; VOLATILITY SPILLOVERS;

FENCES; FINANCIAL DATA PROCESSING; INVESTMENTS; VALUE ENGINEERING;

COSTS;

ECONOMIC IMPACT; EMPIRICAL ANALYSIS; OIL SUPPLY; PRICE DYNAMICS; REGRESSION ANALYSIS; SPILLOVER EFFECT; STOCK MARKET;

EUROPE;

EID: 84857356533     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.08.009     Document Type: Article

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