Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu

This study employs BEKK-GARCH and VAR-GARCH models to examine shock and volatility transmission between oil prices and stock return in oil-importing and oilexporting countries, include the United States, China, Saudi Arabia, Malaysia and the Brent oil market. The data series uses daily, weekly and monthly data basis from January 1,2004 until December 31, 2014. Empirical results show that before structural breaks, there are both consistent and also contradictory results based on daily, weekly and monthly basis for each stock market index using both models. Similarly, there are inconsistent findings after structural breaks. The results show that there are unidirectional and also bidirectional shocks and volatility transmission occur between oil prices and stock returns.