Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Dynamic correlation between stock market returns and crude oil prices: evidence from a developing economy

Emenike O. Kalu; (Rhema University Nigeria, Department of Banking and Finance, 2015)
 Abstrak
Modeling the correlation of assets returns volatilities across different markets or segments of a
market has practical value for portfolio selection and diversification, market regulation, and risk
management. This paper therefore evaluates the nature of time-varying correlation between volatilities
of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised
Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH
(1,1) model show evidence of volatility clustering and persistence in Nigeria stock market
and crude oil returns. The results also show that there is no dynamic conditional correlation in ARCH
effects between stock market returns and crude oil prices in Nigeria. The results further show that
there is strong evidence of time-varying volatility correlation between stock market and crude oil
returns volatility. The findings will help shape policy-making in risk management and market regulation
in Nigeria.
 Metadata
No. Panggil : J-Pdf
Nama orang :
Subjek :
Penerbitan : [Place of publication not identified]: Rhema University Nigeria, Department of Banking and Finance, 2015
Sumber PengataloganLibUI eng rda
ISSN23563818
Majalah/JurnalIndonesian Capital Market Review
VolumeVol 7 No 2 July 2015 102-112
Tipe Konten text
Tipe Media computer
Tipe Carrier online resource
Akses Elektronik http://journal.ui.ac.id/index.php/icmr/article/view/5198
Institusi Pemilik Universitas Indonesia
Lokasi
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No. Panggil No. Barkod Ketersediaan
J-Pdf 03-20-931207280 TERSEDIA
Ulasan:
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