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Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea
16 references·16 citing·26 second hopsampled
Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)Oil price volatility and stock price fluc…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Oil and the Stock Markets (1996)Oil and the Stock MarketsImpulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness (2022)Volatility spillovers amid cr…The impact of oil price volatility on stock markets: Evidences from oil-importing countries (2021)The impact of oil price volat…Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries (2020)Time-varying effect of oil pr…Analyzing volatility spillovers between oil market and Asian stock markets (2020)Analyzing volatility spillove…Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model (2019)Dynamic linkages between stra…Oil Prices and the Renewable Energy Sector (2018)Oil Prices and the Renewable …New insights into the US stock market reactions to energy price shocks (2018)New insights into the US stoc…Oil, gold, US dollar and stock market interdependencies: a global analytical insight (2017)Oil, gold, US dollar and stoc…Nonparametric panel data model for crude oil and stock market prices in net oil importing countries (2017)Nonparametric panel data mode…The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015)The Interactions among Gold, …Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods (2015)Return and volatility linkage…Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis (2015)Oil volatility shocks and the…Oil price and stock market co-movement: What can we learn from time-scale approaches? (2015)Oil price and stock market co…Extreme risk spillovers between crude oil and stock markets (2015)Extreme risk spillovers betwe…Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014)Oil price fluctuation, volati…Macroeconomic impacts of oil price volatility: mitigation and resilience (2014)Macroeconomic impacts of oil …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)What is an Oil Shock? (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A simple panel unit root test in the presence of cross‐section dependence (2007)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited

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  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • Cited by

    • 2015Extreme risk spillovers between crude oil and stock markets216 cited
    • 2014Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness204 cited
    • 2017Oil, gold, US dollar and stock market interdependencies: a global analytical insight163 cited
    • 2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries147 cited
    • 2015Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis145 cited
    • 2020Analyzing volatility spillovers between oil market and Asian stock markets138 cited
    • 2015Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods132 cited
    • 2015The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500122 cited
    • 2020Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries121 cited
    • 2022Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness116 cited
    • 2021The impact of oil price volatility on stock markets: Evidences from oil-importing countries109 cited
    • 2014Macroeconomic impacts of oil price volatility: mitigation and resilience98 cited
    • 2019Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model95 cited
    • 2018Oil Prices and the Renewable Energy Sector90 cited
    • 2018New insights into the US stock market reactions to energy price shocks88 cited
    • 2015Oil price and stock market co-movement: What can we learn from time-scale approaches?84 cited