Dynamic Linkages and Volatility Spillover : Effects of Oil Prices on Exchange Rates and Stock Markets of Emerging Economies.
Material type:
- text
- computer
- online resource
- 9781786355539
- 338.23
- HB1-3840
Front Cover -- Dynamic Linkages and Volatility Spillover -- Copyright Page -- Contents -- Foreword -- Abstract -- Chapter 1 Introduction -- 1.1. Background of the Study -- 1.2. Research Questions -- 1.3. Data Set and Methodology -- Chapter 2 Literature Review -- Chapter 3 New Oil Price Shock: Effect on the Emerging Economies -- 3.1. Geopolitical Implications -- 3.2. Theoretical Modeling -- 3.2.1. Static Model -- 3.2.2. Flexible Exchange Model -- 3.3. South Africa -- 3.4. Brazil -- 3.5. Russia -- 3.6. China -- 3.7. Implications of Sustained Low Oil Prices for the Chinese Economy -- 3.8. South Korea -- Appendix: Derivation of the Comparative Static Effects -- Chapter 4 Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies -- 4.1. Relationship between Crude Oil Prices and Stock Returns -- 4.2. Stock Markets of Emerging Economies -- 4.2.1. Brazilian Stock Market -- 4.2.2. Russian Stock Market -- 4.2.3. Stock Market of China -- 4.2.4. Indian Stock Market -- 4.2.5. South African Stock Exchange -- 4.2.6. South Korean Stock Market -- Chapter 5 Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market -- 5.1. Test of Stationarity: Unit Root Test -- 5.2. Johansen Cointegration Test -- 5.3. Vector Error Correction Model (VECM) -- 5.4. Granger Causality Test -- 5.5. Variance Decomposition Analysis -- 5.6. Structural Vector Autoregression (SVAR) Model -- 5.7. Impulse Response Analysis (IRA) -- Chapter 6 Dynamic Linkages between Crude Oil Prices, Exchange Rates, and Stock Markets of Other Emerging Economies -- 6.1. Introduction -- 6.2. Results and Discussion -- 6.2.1. Test of Stationarity: ERS Unit Root Test -- 6.2.2. Johansen Cointegration Test -- 6.2.3. Vector Error Correction Model (VECM) -- 6.2.4. Granger Causality Test -- 6.2.5. Variance Decomposition Analysis.
6.2.6. Structural Vector Autoregression (SVAR) Model -- 6.2.7. Impulse Response Analysis (IRA) -- Chapter 7 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of India -- 7.1. Volatility Modeling -- 7.2. APARCH Analysis -- 7.3. Multivariate GARCH Model -- 7.4. Constant Conditional Correlation Model -- Chapter 8 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of Other Emerging Economies -- 8.1. Data Set and Preliminary Analysis -- 8.2. APARCH Model -- 8.3. APARCH Estimates -- 8.4. Multivariate CCC-GARCH Model -- 8.5. BEKK-GARCH Model -- 8.6. Conclusion -- Chapter 9 Conclusions -- 9.1. Limitations of the Study -- 9.2. Scope for Further Research -- Acknowledgments -- References -- Index.
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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