National Tariff Commission, Islamabad, Pakistan.
School of Business, Lebanese American University, Beirut, Lebanon.
Environ Sci Pollut Res Int. 2022 Mar;29(11):15603-15613. doi: 10.1007/s11356-021-16722-0. Epub 2021 Oct 10.
Economic policy uncertainty generally tends to induce a pessimistic view of future market behaviour. Furthermore, instabilities in global oil prices have serious implications for the economies of oil exporters and importers, due to their over-dependence on crude oil for revenue and production activities, respectively, and thereby on stock market indices. Against limited empirical evidence, this study examines the spillover effects from global economic policy uncertainty (GEPU) and oil price volatility to the volatility of the stock market indices of oil exporters and importers in both developed and emerging economies. The results show that the spillover effect from GEPU to oil exporters is relatively smaller than to oil importers, for both developed and emerging countries. Conversely, the volatility spillovers from oil prices to oil exporters are relatively larger than to oil importers, for both developed and emerging countries. Specifically, the volatility spillovers from oil prices to oil exporters (importers) in emerging countries are relatively stronger compared to oil exporters (importers) in developed countries. The findings indicate that the volatility of the stock markets of emerging countries is more sensitive to global factors such as GEPU and oil price volatility, and that oil exporters and importers in emerging economies are more sensitive to oil price volatility than oil exporters and importers in developed economies, which is in line with previous studies.
经济政策不确定性通常会导致对未来市场行为的悲观看法。此外，由于全球石油价格的不稳定对石油出口国和进口国的经济都有严重的影响，因为它们分别过度依赖石油来获取收入和开展生产活动，从而对股票市场指数也有影响。根据有限的经验证据，本研究考察了全球经济政策不确定性（GEPU）和石油价格波动对发达经济体和新兴经济体石油出口国和进口国股票市场指数波动的溢出效应。结果表明，对于发达经济体和新兴经济体来说，GEPU 对石油出口国的溢出效应相对较小，而对石油进口国的溢出效应则相对较大。相反，石油价格对石油出口国的波动溢出效应相对较大，而对石油进口国的波动溢出效应则相对较小。具体来说，与石油出口国相比，石油价格对新兴国家石油出口国的波动溢出效应相对较强，而对石油进口国的波动溢出效应则相对较弱。研究结果表明，新兴国家股票市场的波动对全球因素（如 GEPU 和石油价格波动）更为敏感，而新兴经济体的石油出口国和进口国对石油价格波动的敏感度高于发达经济体的石油出口国和进口国，这与之前的研究结果一致。
