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Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey
Date
2011-01-01
Author
Soytaş, Uğur
Oran, Adil
Metadata
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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.
Subject Keywords
Oil price
,
Stock market returns
,
Volatility spillover
,
Electricity index returns
,
Emerging market
,
Cheung-Ng procedure
URI
https://hdl.handle.net/11511/39684
Journal
APPLIED ENERGY
DOI
https://doi.org/10.1016/j.apenergy.2010.07.018
Collections
Department of Business Administration, Article
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BibTeX
U. Soytaş and A. Oran, “Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey,”
APPLIED ENERGY
, pp. 354–360, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39684.