The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Haiping Li, Artur Semeyutin, Chi Keung Lau, Giray Gozgor

Research output: Contribution to journalArticle

Abstract

This study evaluated volatility spillovers among oil price, volatility index and a pool of the credit default swaps for emerging market economies. A special role was ascribed to the time-varying interdependencies and connectedness from the perspectives of Kazakhstan, an oil exporting country. The result shows that Kazakhstan may be more resistant to the volatility, which originated from the other emerging countries. However, Kazakhstan is more sensitive to the global “fear index barometer” of volatility index and oil price volatility. The results might be appealing for portfolio diversification strategies because Kazakhstan’s credit default swaps are in the low oil dependency regime.
LanguageEnglish
Number of pages7
JournalFinance Research Letters
Early online date15 Apr 2019
DOIs
Publication statusE-pub ahead of print - 15 Apr 2019

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Barometers
Kazakhstan
Exporting
Oil markets
Oil
Emerging economies
Financial markets
Oils
Oil price volatility
Volatility index
Credit default swaps
Interdependencies
Time-varying
Diversification strategy
Connectedness
Emerging countries
Emerging market economies
Portfolio diversification
Volatility spillover

Cite this

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title = "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country",
abstract = "This study evaluated volatility spillovers among oil price, volatility index and a pool of the credit default swaps for emerging market economies. A special role was ascribed to the time-varying interdependencies and connectedness from the perspectives of Kazakhstan, an oil exporting country. The result shows that Kazakhstan may be more resistant to the volatility, which originated from the other emerging countries. However, Kazakhstan is more sensitive to the global “fear index barometer” of volatility index and oil price volatility. The results might be appealing for portfolio diversification strategies because Kazakhstan’s credit default swaps are in the low oil dependency regime.",
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