Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis

Wu, Kai; Zhu, Jingran; Xu, Mingli; Yang, Lu

doi:10.1016/j.najef.2020.101194

Cited by 97 publications

(61 citation statements)

References 31 publications

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“…Wavelet transforms come in two forms, namely, discrete wavelet transforms (DWT) and continuous wavelet transforms (CWTs). In this paper, we employ only CWT for our analysis since DWT is useful for noise reduction and data compression, while CWT allows for good identification and isolation of periodic signals, by providing a balance between localisation of time and frequency and appears to 2 Complexity provide a better trade-off between detecting oscillations and peaks or discontinuities [41,43,45].…”

Section: Methodsmentioning

confidence: 99%

“…Specifically, the study provides new evidence by adjusting for the possible influence of EPU using partial wavelet coherence and wavelet coherence, which is lacking in the comovement of agricultural commodities in previous studies (see, for example,Živkov et al [7]; Amrouk et al [17]). e advantage of the use of wavelet-based methods is well documented in the literature (see [41][42][43][44]). is paper, therefore, investigates the partial correlations in the agricultural commodity prices by including (excluding) the influence of EPU.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

et al. 2021

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This paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policy uncertainty on the comovement of five agricultural commodities such as maize, oat, rice, soybean, and wheat using monthly data from January 1997 to December 2019. In general, we observed heterogeneity in comovement structures of the agricultural commodities market at different time-frequency scales which are profound at high frequencies from the bivariate wavelet coherence. The partial wavelet coherence analysis shows that global economic policy uncertainty is a driver of agricultural commodity market connectedness. This implies that extreme changes in economic policy uncertainty have the tendency to influence commodity price comovement. This poses risk to the stability of the agricultural commodities market, which requires the policymaker’s intervention to protect against the spillover risk contagion effect in uncertain times.

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Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

et al. 2021

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“…Similarly, the outcomes also indicate two-way causality at a level of 1% significance between financial development and oil prices (DFD t to DOIL t) . This has been endorsed by Torun et al (2020) and Wu et al (2020). Furthermore, the significant probability value of financial development and global economic policy uncertainty (DFD t to DGPU t ) at all quantiles show the bidirectional causality among these variables.…”

Section: Granger Causality Testmentioning

confidence: 83%

The asymmetric effect of COVID-19 outbreak, commodities prices and policy uncertainty on financial development in China: evidence from QARDL approach

Jiang

Zhang

Razi

et al. 2021

Economic Research-Ekonomska Istraživanja

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COVID-19 epidemic has brought uncertainty to each sector of the global economy, including the financial sector. The widely spread disease has a drastic effect, which massively created health and financial crisis and virtually pushed the economy to the brink of recession. The study focused on the financial development of China during the COVID-19 pandemic and analyzed the long-term and short-term impact of COVID-19, oil prices, gold prices, and global economic policy uncertainty on the financial development of the country. The QARDL model, Wald test, and Granger causality tests are employed to assess the daily data of variables from January 1, 2020, to March 15, 2021. The study's empirical results revealed that an increase in the number of COVID-19 registered patients has an unprecedented negative effect on financial development, whereas the oil prices co-moved with the financial performance. On the other hand, gold prices and global economic policy uncertainty are negatively correlated with financial development. This study offers various policy recommendations to help the investors, government, and decision-makers to make better decisions for the improvement of the financial development of China.

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“…Complex changes in the stock market, changes in the economies of the U.S. and European countries, according to the statements of the World Health Organization and the conclusions on the COVID-19 and studied in depth by other scholars [6][7][8].…”

Section: Literature Reviewmentioning

confidence: 99%

Econometric Analysis of Stock Market Performance during COVID-19 Pandemic: A Case Study of Uzbekistan Stock Market

Eshov¹,

Osamy²,

Aziz³

et al. 2021

IJACSA

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This article highlights the impact of the Coronavirus disease (COVID-19). COVID-19 pandemic on the stock market of Uzbekistan on the basis of empirical research and the main factors affecting the stock market are identified as well. Secondary statistical data were collected from the Tashkent Stock Exchange, the Central Bank of the Republic of Uzbekistan, the State Statistics Committee of the Republic of Uzbekistan and other public funds, and the regression equation of the SEMmodel of the impact of the Covid-19 pandemic on the stock market of Uzbekistan was formed. In particular, indicators such as the latest daily and total number of people infected with Covid-19 in the Republic of Uzbekistan, the total number of recovered people after being infected with Covid-19, the total number of people who died of the disease, the daily number of recovered people post-infection, the stock market index of Uzbekistan, Uzbekistan Indicators such as the number of daily securities traded on the Republican Stock Exchange "Tashkent", the exchange rate of the US dollar set by the Central Bank of the Republic of Uzbekistan were selected as the main factors. The constructed regression equation was examined using F-statistics, Student's t-test, and multicorrelation tests to determine the level of adequacy. The authors identify factors based on a systematic analysis of the scientific work of world-renowned scientists on major stock markets and creates a SEM-model of the factors affecting the Uzbek stock market during the pandemic.

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Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis

Cited by 97 publications

References 31 publications

Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

The asymmetric effect of COVID-19 outbreak, commodities prices and policy uncertainty on financial development in China: evidence from QARDL approach

Econometric Analysis of Stock Market Performance during COVID-19 Pandemic: A Case Study of Uzbekistan Stock Market

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