Estimating Spillover Effect from International Oil Market to Stock Market: Evidence from Korean Portfolio-Level Analysis
Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twenty portfolios of the Korean stock market. Also, it...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-04-01
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| Series: | Economies |
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| Online Access: | https://www.mdpi.com/2227-7099/12/4/92 |