摘要：In this paper, we consider the models that provide evidence of volatility transmission between oil and equity markets. Our aim is to complement previous research by addressing the dynamics of volatility transmission by using the multivariate dynamic conditional correlation–GARCH (DCC-GARCH) model of Engle (2002). This model helps detect eventual volatility spillovers, which are typically observed in stock markets and oil prices. Our sample consists of monthly frequency stock indexes and oil prices covering 10 OECD countries for the January 1990–December 2012 period. We show that oil price shocks in periods of world turmoil and political events have an important impact on the relationship between oil and stock market prices.
