DYNAMIC INTERRELATIONSHIP AMONG SUSTAINABILITY STOCK MARKETS, CONVENTIONAL INDICES, AND OIL MARKET/ BASIL MARAWA; Supervisor: Assist. Prof. Dr. Murad BEIN
Dil: İngilizce 2020Tanım: 150 sheets; 30 cmİçerik türü:- text
- unmediated
- volume
Thesis
| Materyal türü | Geçerli Kütüphane | Koleksiyon | Yer Numarası | Durum | Notlar | İade tarihi | Barkod | Materyal Ayırtmaları | |
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Thesis
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CIU LIBRARY Tez Koleksiyonu | Tez Koleksiyonu | D 221 M27 2020 (Rafa gözat(Aşağıda açılır)) | Kullanılabilir | Business Administration Department | T2107 | |||
Suppl. CD
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CIU LIBRARY Görsel İşitsel | D 221 M27 2020 (Rafa gözat(Aşağıda açılır)) | Kullanılabilir | Business Administration Department | CDT2107 |
Thesis (Ph.D.) - Cyprus International University. Institute of Graduate Studies and Research Business Administration Department
Includes bibliography (sheets 132-149)
ABSTRACT This study aims to examine the dynamic correlation and volatility transmission among international crude oil prices, Socially responsible investing (SRI) represented by two sustainability stock indices (SSIs): the Dow Jones Sustainability World Index (DJSI-W) and the Dow Jones Sustainability Europe Index (DJSI-E), and major stock returns of oil-importing countries (Hong Kong, South Korea, Germany, UK, France, Switzerland, Italy, Netherlands, Belgium, Finland, Ireland, Portugal, Tunis, Morocco, Jordan, and Lebanon) and oil-exporting countries (Norway and Russia Saudi Arabia, UAE, Oman, and Nigeria). The methodological approach employed is the Dynamic Conditional Correlation (DCC)-Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model. In this study, we used daily sample data for the period between 28 September 2001 and 10 January 2020. The result indicates that the dynamic interrelationship between SSIs, stock returns of European oil importing/exporting countries, and oil markets is different. There is a higher correlation between SSIs and European oil-importing countries, while oil-exporting countries have a higher correlation with the oil market. Notably, the correlation between oil and stock returns became higher during and after the global financial crisis. Besides, this study disclosed that the Global financial crisis (GFC) significantly affect the correlation among crude oil price and both of conventional stock market indices and SSIs. In general, the correlation after the GFC became higher than it was before the GFC. Furthermore, this study also reveals the existence of significant volatility transmission among SSIs, crude oil prices, and the major indices of oil-importing/exporting countries. These results have substantial implications for policymakers and both investors and portfolio managers who are seeking to hedge and diversify their assets and for socially responsible investors.