Analysis of the international propagation of contagion between oil and stock markets

Zhang, Guofu; Liu, Wei

doi:10.1016/j.energy.2018.09.024

Cited by 23 publications

(15 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, correlation cannot capture the nonlinear dependence that is usually observed between markets. To overcome this, instead of correlation, several recent studies have measured financial contagion based on the dependence between financial markets (e.g., Luo et al, 2015 ; Zhang and Liu, 2018 ; Niţoi and Pochea, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

“…With a copula model, any multivariate distribution can be estimated by separately estimating the marginal distributions and the copula function. Copula models have also been used to study financial contagion (e.g., Hoesli and Reka, 2015 ; Jayech, 2016 ; Zhang and Liu, 2018 ; Cubillos-Rocha et al, 2019 ; Niţoi and Pochea, 2020 ). However, most copula models neglect some aspects of the complex dependence between markets, such as nonlinearity, asymmetry, time-varying patterns, and upper- and lower-tail dependence.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

Wang

Xun-hong

2021

Economic Modelling

View full text Add to dashboard Cite

We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dynamic dependence between forex markets. By analyzing 39 currencies that are actively traded on the forex market during the period 2005-2009, our empirical study shows that the DMC-EVT model outperforms the alternative copula models. Furthermore, we confirm the existence of financial contagion in the forex market during the 2007-2009 global financial crisis, and find that wealth constraints are the contagion channel during the crisis. Our results provide important insights on portfolio and risk management.

show abstract

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

Wang

Xun-hong

2021

Economic Modelling

View full text Add to dashboard Cite

show abstract

“…The researchers found a significantly increasing dependence between crude oil and stock markets after the failure of Lehman Brothers. In the same vein, Zhang and Liu [48] reinforced the contagion between oil and seven stock markets, the contagion being spread from developed nations to developing ones.…”

Section: Literature Reviewmentioning

confidence: 95%

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

View full text Add to dashboard Cite

his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

show abstract

“…A large set of methods has been used in exploring the relationship among stock markets and oil prices. Zhang and Liu (2018) applied dynamic copula and VAR-DAG models between 2000 and 2017 to examine oil stock contagion and its propagation in seven countries stock markets. Additionally, (Ahmadi et al, 2016) used structural vector autoregressive (SVAR) and found different responses to oil price shocks on the US stock market returns.…”

Section: Literature Reviewmentioning

confidence: 99%

Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach

Memon

Tahir

2021

IJEEP

View full text Add to dashboard Cite

The energy sector occupies a mainstay role in overall growth in the modern worldwide economy. Therefore, it is essential to examine network structures and dynamics of leading energy companies of the world through complex network methods. Because, complex network methods are significant tools of studying the static and dynamics properties of the stock market, which allows us to better comprehend the stock market. We use daily prices of 147 energy stocks belonging to 34 countries of the world from 2006-2019. In addition to the overall sample, we explore networks for two sub-periods to examine the topological evolution during global recession of 2008, and energy and European debt crisis of 2011. Our results show substantial clustering of energy companies based on their geographic position during overall sample period. However, the crisis periods lead to a break in Asian and European clusters and only one prominent cluster appears in all the periods belonging to North American energy companies. We also observe few top US and European based companies occupying important and great global influence positions in the networks. In addition, time-varying topological measures indicate contraction of networks during crisis time, and an expansion in the recovery periods. More implications are also discussed.

show abstract

Analysis of the international propagation of contagion between oil and stock markets

Cited by 23 publications

References 30 publications

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach

Contact Info

Product

Resources

About