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

doi:10.1016/j.frl.2019.04.028

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

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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.

Original language	English
Article number	101171
Number of pages	7
Journal	Finance Research Letters
Volume	32
Early online date	15 Apr 2019
DOIs	https://doi.org/10.1016/j.frl.2019.04.028
Publication status	Published - 1 Jan 2020

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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{\textquoteright}s credit default swaps are in the low oil dependency regime.",

keywords = "Volatility spillovers, Frequency connectedness, Generalized autoregressive score models, Time-varying copula, Emerging markets",

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AU - Gozgor, Giray

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AB - 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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KW - Generalized autoregressive score models

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JF - Finance Research Letters

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

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