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Volatility spillovers and macroeconomic announcements: evidence from crude oil markets

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Date
2015
Dewey
Economie financière
Sujet
Volatility spillovers; Macroeconomic announcements; oil prices; stock prices
JEL code
G.G1.G15; G.G1.G14; C.C5.C58
Journal issue
Applied Economics
Volume
47
Number
28
Publication date
2015
Article pages
2974-2984
Publisher
Routledge
DOI
http://dx.doi.org/10.1080/00036846.2015.1011316
URI
https://basepub.dauphine.fr/handle/123456789/15049
Collections
  • LEDa : Publications
Metadata
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Author
Belgacem, Aymen
1724 Laboratoire d'économie d'Orleans [LEO]
Creti, Anna
status unknown
Guesmi, Khaled
224794 IPAG Lab [IPAG Lab]
Lahiani, Amine
1724 Laboratoire d'économie d'Orleans [LEO]
Type
Article accepté pour publication ou publié
Abstract (EN)
The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor’s500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.

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