Oil Volatility Spillovers to the US and EU industries
(2011) NEKM07 20111Department of Economics
- Abstract
- This essay examines the volatility spillover effects from oil price shocks across different US and
EU industries, using a GJR-GARCH(1,1) model. We conclude that the European industries are
much more sensitive to oil and stock market shocks compared to their US counterparts. In US,
oil news have significant effect only on Basic Materials, Industrials, Utilities and Consumer
Services and coefficient significance depends much on the estimation sample. In contrast, all the
EU industry returns are significantly influenced by oil shocks. The most sensitive are Basic
Materials and Industrials, while the least affected are Telecommunications, Healthcare and
Consumer Goods. However, variance ratios show that the share of oil shocks in an... (More) - This essay examines the volatility spillover effects from oil price shocks across different US and
EU industries, using a GJR-GARCH(1,1) model. We conclude that the European industries are
much more sensitive to oil and stock market shocks compared to their US counterparts. In US,
oil news have significant effect only on Basic Materials, Industrials, Utilities and Consumer
Services and coefficient significance depends much on the estimation sample. In contrast, all the
EU industry returns are significantly influenced by oil shocks. The most sensitive are Basic
Materials and Industrials, while the least affected are Telecommunications, Healthcare and
Consumer Goods. However, variance ratios show that the share of oil shocks in an industry’s
total volatility remains very small (0-0.46% for US sectors and 0.23-1.55% for EU) compared to
the innovations from the broad US and EU stock markets. For futures contracts these ratios are
higher, and namely 0.03-2.73% and 0.21-4.66% respectively. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1975971
- author
- Lelis, Natalia LU and Pirhadi, Leyla
- supervisor
- organization
- course
- NEKM07 20111
- year
- 2011
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Volatility Spillovers, Oil Prices, Industries
- language
- English
- id
- 1975971
- date added to LUP
- 2011-06-17 12:29:49
- date last changed
- 2011-06-17 12:29:49
@misc{1975971, abstract = {{This essay examines the volatility spillover effects from oil price shocks across different US and EU industries, using a GJR-GARCH(1,1) model. We conclude that the European industries are much more sensitive to oil and stock market shocks compared to their US counterparts. In US, oil news have significant effect only on Basic Materials, Industrials, Utilities and Consumer Services and coefficient significance depends much on the estimation sample. In contrast, all the EU industry returns are significantly influenced by oil shocks. The most sensitive are Basic Materials and Industrials, while the least affected are Telecommunications, Healthcare and Consumer Goods. However, variance ratios show that the share of oil shocks in an industry’s total volatility remains very small (0-0.46% for US sectors and 0.23-1.55% for EU) compared to the innovations from the broad US and EU stock markets. For futures contracts these ratios are higher, and namely 0.03-2.73% and 0.21-4.66% respectively.}}, author = {{Lelis, Natalia and Pirhadi, Leyla}}, language = {{eng}}, note = {{Student Paper}}, title = {{Oil Volatility Spillovers to the US and EU industries}}, year = {{2011}}, }