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- W566442904 abstract "Within the new developed causality-in-variance approach, this paper builds up a broad methodological framework to more accurately capture the risk spillover effects between global oil prices and Jordanian stock market returns during the period 1 March 2003–31 January 2014. The sample period is divided, on the basis of the 2008 financial crisis, into pre-crisis and post-crisis periods. Results for the pre-crisis period show a lack of risk spillovers between global oil and the Jordanian stock market. After the crisis, however, we find evidence for one-way risk spillover running from the oil market. These findings have implications for the design of appropriate asset allocation and regulatory policies to manage risk spillover effects." @default.
- W566442904 created "2016-06-24" @default.
- W566442904 creator A5071230295 @default.
- W566442904 date "2015-10-01" @default.
- W566442904 modified "2023-09-27" @default.
- W566442904 title "A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market" @default.
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- W566442904 doi "https://doi.org/10.1016/j.enpol.2015.06.001" @default.
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