Dynamic spillover between oil price shocks and technology stock indices: A country level analysis

Document Type

Article

Source of Publication

Research in International Business and Finance

Publication Date

1-1-2024

Abstract

We study dynamic spillovers between oil price shocks and the technology stocks’ returns and volatility during 2000-2021 in the top-15 countries with advanced technology sectors. The oil shocks are disentangled based on Ready (2018) methodology and the spillovers are analyzed using the Diebold and Yılmaz (2014) approach. The results evidence that dynamic connectedness between technology indices and oil shocks increases remarkably during the periods of financial turmoil. Moreover, our outcomes reveal that oil risk shocks are net contributors to return and volatility of technology indices. The technology stock indices of France, Germany, and USA are the greatest contributors of innovations to oil shocks and other technology indices, whereas the technology indices of Japan, China and Taiwan are the greatest receivers of return and volatility shocks from others. The results highlight that diversification and hedging benefits among analyzed markets appear considerably reduced during the periods of economic slowdown.

ISSN

0275-3384

Publisher

Elsevier BV

First Page

102231

Last Page

102231

Disciplines

Business

Keywords

Oil price shocks, Technology stock indices, Dynamic connectedness, Financial turmoil, Diversification

Indexed in Scopus

no

Open Access

no

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