African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4193

Full Length Research Paper

News arrival and volatility components: Oil and the stock markets

Jer-Shiou Chiou1* and Pei-Shan Wu2
1Department of Finance and Banking, Shih-Chien University, 70, Ta-Chih St., Taipei 104, Taiwan. 2Department of Finance, Ching Yun University, No. 229, Jianxing Road, Zhongli City, Taoyuan County 320, Taiwan.
Email: [email protected]

  •  Accepted: 02 September 2011
  •  Published: 04 July 2012

Abstract

This study develops a two step method for investigating the impact of oil shocks on stock returns. Oil price volatility is monitored using structural change and regime switching. The jump model is then used to examine the spillover and asymmetric effects of oil prices on stock returns. Based on cross examination, a conclusive result is obtained, namely, when oil prices fluctuate significantly, asymmetric unexpected changes in oil price negatively impacted the Standard and Poor (S&P500).

 

Key words: Structural change, regime switch, spillover, asymmetric, autoregressive jump intensity (ARJI) model.

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This article is published under the terms of the Creative Commons Attribution License 4.0

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