{"id":"https://openalex.org/W2110056747","doi":"https://doi.org/10.19030/jabr.v30i2.8421","title":"Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets","display_name":"Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets","publication_year":2014,"publication_date":"2014-02-27","ids":{"openalex":"https://openalex.org/W2110056747","doi":"https://doi.org/10.19030/jabr.v30i2.8421","mag":"2110056747"},"language":"en","primary_location":{"id":"doi:10.19030/jabr.v30i2.8421","doi":"https://doi.org/10.19030/jabr.v30i2.8421","is_oa":true,"landing_page_url":"https://doi.org/10.19030/jabr.v30i2.8421","pdf_url":"https://clutejournals.com/index.php/JABR/article/download/8421/8440","source":{"id":"https://openalex.org/S2764593888","display_name":"Journal of Applied Business Research (JABR)","issn_l":"0892-7626","issn":["0892-7626","2157-8834"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","russia-white-list-3"],"host_organization":"https://openalex.org/P4324341412","host_organization_name":"Clute Institute","host_organization_lineage":["https://openalex.org/P4324341412"],"host_organization_lineage_names":["Clute Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Business Research (JABR)","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://clutejournals.com/index.php/JABR/article/download/8421/8440","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065470879","display_name":"Mathieu Gomes","orcid":"https://orcid.org/0000-0003-0615-8493","observed_orcids":["https://orcid.org/0000-0003-0615-8493"]},"institutions":[{"id":"https://openalex.org/I198244214","display_name":"Universit\u00e9 Clermont Auvergne","ror":"https://ror.org/01a8ajp46","country_code":"FR","type":"education","lineage":["https://openalex.org/I198244214"]},{"id":"https://openalex.org/I4210094644","display_name":"Clermont Recherche Management","ror":"https://ror.org/00nf46858","country_code":"FR","type":"facility","lineage":["https://openalex.org/I198244214","https://openalex.org/I4210094644","https://openalex.org/I4387152528"]},{"id":"https://openalex.org/I4405259134","display_name":"Universit\u00e9 de Clermont I","ror":"https://ror.org/01stqnn06","country_code":"FR","type":"education","lineage":["https://openalex.org/I198244214","https://openalex.org/I4405259134"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Mathieu Gomes","raw_affiliation_strings":["Universit\u00e9 d\u2019Auvergne Clermont","Clermont Recherche Management - Clermont Auvergne"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e9 d\u2019Auvergne Clermont","institution_ids":["https://openalex.org/I198244214","https://openalex.org/I4405259134"]},{"raw_affiliation_string":"Clermont Recherche Management - Clermont Auvergne","institution_ids":["https://openalex.org/I4210094644"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018425731","display_name":"Anissa Chaibi","orcid":"https://orcid.org/0000-0002-0833-4123","observed_orcids":["https://orcid.org/0000-0002-0833-4123"]},"institutions":[{"id":"https://openalex.org/I4210099530","display_name":"IPAG Business School","ror":"https://ror.org/00w56r274","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210099530"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Anissa Chaibi","raw_affiliation_strings":["IPAG Business School"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IPAG Business School","institution_ids":["https://openalex.org/I4210099530"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":12.4216,"has_fulltext":true,"cited_by_count":61,"citation_normalized_percentile":{"value":0.98240373,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"30","issue":"2","first_page":"509","last_page":"509"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9848999977111816,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9848999977111816,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.014700000174343586,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.9850000143051147},{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.996999979019165},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.8489999771118164},{"id":"https://openalex.org/keywords/frontier-stock-markets","display_name":"frontier stock markets","score":0.8889999985694885},{"id":"https://openalex.org/keywords/bidirectional-spillover","display_name":"bidirectional spillover","score":0.7749999761581421},{"id":"https://openalex.org/keywords/bekk-garch","display_name":"BEKK-GARCH","score":0.7850000262260437},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.5289999842643738}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7314478158950806},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7265898585319519},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6074658036231995},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5847660899162292},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5744173526763916},{"id":"https://openalex.org/C2778571376","wikidata":"https://www.wikidata.org/wiki/Q1355821","display_name":"Frontier","level":2,"score":0.5727141499519348},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.570379912853241},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5235799551010132},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.503433883190155},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5007636547088623},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.44358277320861816},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40328294038772583},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.37892696261405945},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15683695673942566},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.09799855947494507},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.19030/jabr.v30i2.8421","doi":"https://doi.org/10.19030/jabr.v30i2.8421","is_oa":true,"landing_page_url":"https://doi.org/10.19030/jabr.v30i2.8421","pdf_url":"https://clutejournals.com/index.php/JABR/article/download/8421/8440","source":{"id":"https://openalex.org/S2764593888","display_name":"Journal of Applied Business Research (JABR)","issn_l":"0892-7626","issn":["0892-7626","2157-8834"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","russia-white-list-3"],"host_organization":"https://openalex.org/P4324341412","host_organization_name":"Clute Institute","host_organization_lineage":["https://openalex.org/P4324341412"],"host_organization_lineage_names":["Clute Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Business Research (JABR)","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-02314397v1","doi":null,"is_oa":true,"landing_page_url":"https://hal.science/hal-02314397","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Applied Business Research, 2014, 30","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:hal:journl:hal-02314397","doi":null,"is_oa":false,"landing_page_url":"https://hal.science/hal-02314397v1/document","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"doi:10.19030/jabr.v30i2.8421","doi":"https://doi.org/10.19030/jabr.v30i2.8421","is_oa":true,"landing_page_url":"https://doi.org/10.19030/jabr.v30i2.8421","pdf_url":"https://clutejournals.com/index.php/JABR/article/download/8421/8440","source":{"id":"https://openalex.org/S2764593888","display_name":"Journal of Applied Business Research (JABR)","issn_l":"0892-7626","issn":["0892-7626","2157-8834"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","russia-white-list-3"],"host_organization":"https://openalex.org/P4324341412","host_organization_name":"Clute Institute","host_organization_lineage":["https://openalex.org/P4324341412"],"host_organization_lineage_names":["Clute Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Business Research (JABR)","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2110056747.pdf","grobid_xml":"https://content.openalex.org/works/W2110056747.grobid-xml"},"referenced_works_count":31,"referenced_works":["https://openalex.org/W217722763","https://openalex.org/W570547809","https://openalex.org/W1599930241","https://openalex.org/W1966404922","https://openalex.org/W1977480757","https://openalex.org/W1989613822","https://openalex.org/W1992783043","https://openalex.org/W2021602343","https://openalex.org/W2021821837","https://openalex.org/W2043276687","https://openalex.org/W2045564168","https://openalex.org/W2048373198","https://openalex.org/W2066021447","https://openalex.org/W2066390116","https://openalex.org/W2074988857","https://openalex.org/W2079202026","https://openalex.org/W2094858492","https://openalex.org/W2118750342","https://openalex.org/W2120641249","https://openalex.org/W2132417154","https://openalex.org/W2137734808","https://openalex.org/W2144065083","https://openalex.org/W2154084173","https://openalex.org/W2157104034","https://openalex.org/W2162886930","https://openalex.org/W3011497238","https://openalex.org/W3123974798","https://openalex.org/W3124258486","https://openalex.org/W4229900088","https://openalex.org/W4245765161","https://openalex.org/W6669398524"],"related_works":["https://openalex.org/W3006618723","https://openalex.org/W2904518505","https://openalex.org/W2043276687","https://openalex.org/W2765602633","https://openalex.org/W3010857651","https://openalex.org/W3000156589","https://openalex.org/W7014954765","https://openalex.org/W1491227966","https://openalex.org/W2066021447","https://openalex.org/W2971650740"],"abstract_inverted_index":{"Frontier":[0,74],"markets":[1,35,62],"are":[2],"increasingly":[3],"sought":[4],"by":[5],"investors":[6],"in":[7,36],"search":[8],"of":[9,99,108],"higher":[10],"returns":[11,86],"and":[12,56,68,76,80,95,101,106],"low":[13],"correlation":[14],"with":[15],"traditional":[16],"assets.":[17],"As":[18],"such,":[19],"it":[20],"is":[21,116],"important":[22],"for":[23],"financial":[24],"market":[25],"participants":[26],"to":[27,38,51,91],"understand":[28],"the":[29,54,72,77,109],"volatility":[30,102],"transmission":[31,98],"mechanism":[32],"across":[33],"these":[34],"order":[37],"make":[39],"better":[40],"portfolio":[41],"allocation":[42],"decisions.":[43],"This":[44],"paper":[45],"employs":[46],"a":[47],"bivariate":[48],"BEKK-GARCH(1,1)":[49],"model":[50],"simultaneously":[52],"estimate":[53],"mean":[55],"conditional":[57],"variance":[58],"between":[59,103],"equity":[60],"stock":[61,66],"(twenty-one":[63],"national":[64],"frontier":[65],"indices":[67,71],"two":[69],"broad":[70],"MSCI":[73,78],"Markets":[75],"World)":[79],"oil":[81,104],"prices.":[82],"We":[83],"examine":[84],"weekly":[85],"from":[87],"February":[88,92],"8,":[89],"2008":[90],"1,":[93],"2013":[94],"find":[96],"significant":[97],"shocks":[100],"prices":[105],"some":[107],"examined":[110],"markets.":[111],"Moreover,":[112],"this":[113],"spillover":[114],"effect":[115],"sometimes":[117],"bidirectional.":[118]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":8},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-25T09:29:13.331239","created_date":"2016-06-24T00:00:00"}