Volatility contagion between oil and the stock markets of G7 countries plus India and China

• Published in: Resources policy Vol. 81; p. 103377
• Main Authors: Guru, Biplab Kumar, Pradhan, Ashis Kumar, Bandaru, Ramakrishna
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.03.2023
• Subjects: COVID-19; Crude oil price; Global financial crisis; Stock market; Volatility spillovers; COVID-19; Crude oil price; G150; G110; G01; Stock market; Global financial crisis; Volatility spillovers
• ISSN: 0301-4207; 1873-7641
• DOI: 10.1016/j.resourpol.2023.103377

It is imperative to analyze over the potential risks persisting in the financial systems from time to time. In this connection, this study examines volatility spillover between crude oil price and stock prices of G7 plus India and China using Diebold and Yilmaz (2012) technique from Jan 4, 2005–June 9, 2021. Although, our results show high stock market returns volatility connectedness among the sample countries but we find no significant transmission between oil prices and stock markets for the whole sample. The sub-sample results indicate that the period marked by COVID-19 witnessed substantial bidirectional spillovers between oil market and stock market. Empirical results of this study is expected to offer important policy inputs for investors, and policymakers to devise cautious strategies concerning their investments during uncertainties. •Examination of volatility spillover between crude oil price and stock prices of G7 plus India and China.•We found high stock market returns volatility connectedness among the sample countries.•No significant transmission between oil prices and stock markets for the whole sample was found.