Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil

Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil

This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland and The Netherlands) and oil-exporting countries (No...

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Bibliographic Details
Main Authors: Basel Maraqa, Murad Bein
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Sustainability
Subjects:
socially responsible investing (SRI)
sustainability stock index (SSI)
oil importing/exporting
crude oil
spillover effect
dynamic conditional correlation (DCC)
Online Access:https://www.mdpi.com/2071-1050/12/9/3908

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