Abstract
The aim of this chapter is to identify the effects of oil price volatility on stock market volatility for eight oil exporter or importer countries. Using weekly data for the 2004–15 period, we model the relationship between oil and stock prices using a multivariate GARCH–BEKK model. We find evidence of comovement between oil and stock markets, especially in the GCC region, whereas results for volatility spillovers are quite mixed. Consequently, general policies aimed at stabilizing stock prices in oil exporting countries cannot be formulated; the specific linkages between different markets need to be taken into account in order to devise appropriate policy measures.
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