Impact of global financial crisis on stylized facts between energy markets and stock markets


Tan, Kim Leng and Chin, Wen Cheong and Tan, Siow Hooi (2014) Impact of global financial crisis on stylized facts between energy markets and stock markets. AIP Conference Proceedings, 1602. p. 994. ISSN 1551-7616

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Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Computing and Informatics (FCI)
Faculty of Management (FOM)
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 19 Aug 2014 04:55
Last Modified: 19 Aug 2014 04:55


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