Volatility transmission between stock markets and oil prices

Abstract

This paper provides further evidence of linkages and volatility transmission between oil prices and stock markets for a sample of four important countries (U.S.A., Germany, France and Japan) over the period from November 1990 to August 2014. We make use of a univariate GARCH model and a multivariate GARCH model with time varying conditional correlation, namely Dynamic Conditional Correlation model. On the whole, our results illustrate the existence of volatility spillovers between stock markets and world oil prices.