Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Purje-väylä kartta Saimaan vesillä Kiviluodosta Joensuuhun / valmistanut majori C. Lönneström vuonna 1864 ; uusi v. 1927 väylien suhteen korjattu painos.

1/35,700 osa luonnollisesta suuruudesta.

Purje-väylä kartta Saimaan vesillä Saviluodosta Muuraissaareen / valmistanut majori C. Lönneström vuonna 1864 ; uusi v. 1928 väylien suhteen korjattu painos.

1/35,700 osa luonnollisesta suuruudesta.

Haastattelussa : professori, tanssikriitikko, kirjailija Elizabeth Kendall

Haasteltavana professori, tanssikriitikko ja kirjailija Elizabeth Kendall.

Förteckning öfver böckerne vid Kuopio gymnasisternes privat bibliothek 1864

Imprimatur: L. Heimbürger.

Katalog, upptagande Låne-bibliothekets i S:t Michels stad. Böcker och skrifter i mars 1864

Imprimatur: L. Heimbürger.