Joint research unit 7235

Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience

Yao Axel Ehouman

Linkages between oil prices and stock prices of the US banking sector have become more complex with the strong rise in the US production of shale oil. The concern is whether the exposure of the US banking sector to shale oil companies has led to volatility spillover transmission between stocks’ prices of the exposed US banks and oil prices. Using stocks prices data of the four major US banks involved in oil and gas industries and the price of West Texas Intermediate crude oil, we investigate these volatility spillovers from 2006 to 2016, using a vector fractional integrated ARMA. Our results support the existence of such volatility spillovers, suggesting thus a new factor likely to trigger future turmoil on oil markets and in the banking sector.

AGENDA

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

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