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

Research output: Contribution to journal › Article

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
Number of pages	7
Journal	Finance Research Letters
Early online date	15 Apr 2019
DOIs	https://doi.org/10.1016/j.frl.2019.04.028
Publication status	E-pub ahead of print - 15 Apr 2019

Fingerprint

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

Li, H., Semeyutin, A., Lau, C. K., & Gozgor, G. (2019). The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. Finance Research Letters. https://doi.org/10.1016/j.frl.2019.04.028

Li, Haiping ; Semeyutin, Artur ; Lau, Chi Keung ; Gozgor, Giray. / The relationship between oil and financial markets in emerging economies : The significant role of Kazakhstan as the oil exporting country. In: Finance Research Letters. 2019.

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Li, H, Semeyutin, A, Lau, CK & Gozgor, G 2019, 'The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country', Finance Research Letters. https://doi.org/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. / Li, Haiping ; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray.

In: Finance Research Letters, 15.04.2019.

Research output: Contribution to journal › Article

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