Modelling volatility and correlations between energy price markets and SRI stock markets

Abstract

This paper has examined the mean and volatility spillover transmissions between energy markets and SRI markets by employing different multivariate GARCH models (BEKK, CCC, and VARMA-GARCH). The results of the MGARCH specification provide evidence of own mean spillover in the price returns of energy to SRI stock markets, indicating that the returns of energy and SRI stock markets depend on their own past returns. The results of the analysis here in suggest that policy makers, foreign investors, and institutional investors should consider how a change in energy prices affects SRI stock markets, because our findings present that the mean or volatility transmission effect does indeed exist.