Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey

2011-01-01
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung-Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices.
Citation Formats
U. Soytaş and A. Oran, “Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey,” APPLIED ENERGY, vol. 88, no. 1, pp. 354–360, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39684.