Abstract
| Original language | English |
|---|---|
| Number of pages | 7 |
| Journal | Finance Research Letters |
| Early online date | 15 Apr 2019 |
| DOIs | |
| Publication status | E-pub ahead of print - 15 Apr 2019 |
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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
TY - JOUR
T1 - The relationship between oil and financial markets in emerging economies
T2 - The significant role of Kazakhstan as the oil exporting country
AU - Li, Haiping
AU - Semeyutin, Artur
AU - Lau, Chi Keung
AU - Gozgor, Giray
PY - 2019/4/15
Y1 - 2019/4/15
N2 - 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.
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.
KW - Volatility spillovers
KW - Frequency connectedness
KW - Generalized autoregressive score models
KW - Time-varying copula
KW - Emerging markets
UR - http://www.scopus.com/inward/record.url?scp=85065233053&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2019.04.028
DO - 10.1016/j.frl.2019.04.028
M3 - Article
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -