Asymmetric volatility spillovers between crude oil and international financial markets

Dynamic return and volatility spillovers among S&P 500, crude oil, and gold

“…Mensi et al (2017a), Miyazaki and Hamori (2013), Chkili (2016), Dar and Maitra (2017) ), between oil and stock markets (i.e. Awartani (2013), Ji (2018), Li and Wei (2018), Peng et al (2018), Shahzad (2018), Wang and Wu (2018), Abdullah et al (2016) etc. ), between oil and gold (Le and Chang (2012), Tiwari and Sahadudheen (2015), Shahbaz et al (2017) and Kumar (2017) ), and among oil, gold and stock markets (i.e.…”

“…Since the financial globalization of commodity markets leads to a rise in integration across the energy, metal and other commodity markets, the investigation of the relationship between these markets by utilizing various kinds of econometrics methods attracts portfolio investors, consumers and producers, policy makers and speculative traders. Numerous investigations have been conducted into the relationship between gold and stock markets (i.e., Chkili, 2016; Dar & Maitra, 2017; Mensi, Al‐Yahyaee, & Kang, 2017a; Miyazaki & Hamori, 2013), between oil and stock markets (i.e., Abdullah, Saiti, & Masih, 2016; Awartani & Maghyereh, 2013; Balcilar & Ozdemir, 2013a; Ji, Liu, Zhao, & Fan, 2018; Li & Wei, 2018; Peng, Zhu, Guo, & Chen, 2018; Shahzad, Mensi, Hammoudeh, Rehman, & Al‐Yahyaee, 2018; Wang & Wu, 2018), between oil and gold (Balcilar, Ozdemir, & Shahbaz, 2018a; Balcilar, Ozdemir, Shahbaz, & Gunes, 2018b; Kumar, 2017; Le & Chang, 2012; Shahbaz, Balcilar, & Ozdemir, 2017; Tiwari & Sahadudheen, 2015), and among oil, gold and stock markets (i.e., Bouri, Jain, Biswal, & Roubaud, 2017; Lau, Vigne, Wang, & Yarovaya, 2017; Mensi, Hammoudeh, Al‐Jarrah, Sensoy, & Kang, 2017b; Raza, Shahzad, Tiwari, & Shahbaz, 2016; Tursoy & Faisal, 2018) using various kinds of econometric methods.…”

Asymmetric impact of oil market uncertainty on the US biofuel industry

“…15 Moreover, previous researchers also demonstrate that asymmet-oil price variations. [6][7][8][9][10][11] These studies argue that economic variables (such as oil, stocks) incorporate nonlinear or asymmetric properties and, hence, applying linear models might be inappropriate as the use of such processes could mislead the risk-assessment procedures. As testing the asymmetric impact of oil market uncertainty will allow investors and policy makers to determine whether the positive oil volatility shocks affect the important financial markets more than the negative shocks, they can select appropriate strategies or models to minimize risk and maximize return when facing great oil market uncertainty.…”

“…First, while the existing empirical works have been conducted using a linear framework, this study considers testing the asymmetric impact of oil price uncertainty on the US ethanol price levels. Given that energy price indexes usually exhibit a nonlinear behavior over time due to varying economic conditions, earlier studies have used nonlinear models to capture the asymmetric impact of oil price variations . These studies argue that economic variables (such as oil, stocks) incorporate nonlinear or asymmetric properties and, hence, applying linear models might be inappropriate as the use of such processes could mislead the risk‐assessment procedures.…”

Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility

“…Reference [2] paid attention to the potential asymmetries from good and bad volatility in the causal linkages between the crude oil and forex markets. Reference [55] examined asymmetric volatility spillovers between crude and international stock markets. They provided evidence that bad total volatility spillovers dominate the system and change over time, suggesting that a pessimistic mood and uninformed traders who tend to increase volatility dominate in the markets.…”