The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Haipin Li, Artur Semeyutin, Chi Keung Marco Lau, Giray Gozgor

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study evaluated volatility spillovers among oil price, volatility index and a pool of the credit default swaps for emerging market economies. A special role was ascribed to the time-varying interdependencies and connectedness from the perspectives of Kazakhstan, an oil exporting country. The result shows that Kazakhstan may be more resistant to the volatility, which originated from the other emerging countries. However, Kazakhstan is more sensitive to the global “fear index barometer” of volatility index and oil price volatility. The results might be appealing for portfolio diversification strategies because Kazakhstan's credit default swaps are in the low oil dependency regime.

Original languageEnglish
Article number101171
Number of pages7
JournalFinance Research Letters
Volume32
Early online date15 Apr 2019
DOIs
Publication statusPublished - Jan 2020
Externally publishedYes

Keywords

  • Emerging markets
  • Frequency connectedness
  • Generalized autoregressive score models
  • Time-varying copula
  • Volatility spillovers

ASJC Scopus subject areas

  • Finance

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