China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach

Ji, Hao; Wang, Hao; Zhong, Rui; Li, Min

doi:10.1016/j.econmod.2020.07.022

Cited by 22 publications

(12 citation statements)

References 43 publications

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“…If the commodity attribute of crude oil is dominant, the correlation between the risk evolutions of the international crude oil market and the financial market depends on the financial market risk level. These results suggest the relationship between the international crude oil market and the financial market (Kang et al, 2015;Adams et al, 2020;Hao et al, 2020). The financialization of crude oil has enabled a large number of speculative groups to enter the international crude oil market, investing in crude oil assets as a kind of safe-haven assets.…”

Section: Data Selection and Feature Analysismentioning

confidence: 78%

“…The return volatility of crude oil increases the risk of the international crude oil market, shaking the role of crude oil as a safe-haven asset. Investors began to increase financial asset investment to avoid the investment risk in the crude oil market, causing capital to flow from the international crude oil market to the financial market (Hao et al, 2020). At this time, information in the financial market plays the role in guiding the information in the international crude oil market.…”

Section: Hypothesesmentioning

confidence: 99%

“…The financial attribute of crude oil is the key attribute as a safe-haven asset. The international crude oil market behaves as the risk recipient from the financial market in both the rising and falling returns of crude oil (Hao et al, 2020). This is mainly due to the positioning of crude oil assets by investors.…”

Section: Hypothesesmentioning

confidence: 99%

“…Investors pay more attention to information of the international crude oil market in its rising return. As a safe-haven asset for investors, the rising return of crude oil drives investors to increase their investment in crude oil (Hao et al, 2020). The rising return weakens the asymmetry in market participants' access to information about the crude oil market.…”

Section: Dynamic Risk Spillover Of International Crude Oil Market In Different Return Trendsmentioning

confidence: 99%

“…When the crude oil is dominated by dual attributes simultaneously, the risk connectedness between the international crude oil market and commodity market or financial market is uncertain. This uncertainty originates from the joint effect of the global flow of funds and investor expectation on the risk spillover (Hao et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

Jia

Dong²,

Yang

2021

Front. Environ. Sci.

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The heterogeneity of investor sentiment plays a key role in causing the asymmetry of information transmission patterns and transmission intensity between markets. This paper analyzes the asymmetric risk spillover between the international crude oil market and other markets, including commodity market and financial market, using monthly data from June 2006 to October 2020. The risk from the international crude oil market is separated into upside and downside risks. The empirical results suggest that, first, from the perspective of static spillover, the risk spillover between the international oil market and commodity market or financial market enhances significantly in response to rising return; second, from the perspective of dynamic spillover, the asymmetric risk spillover of international crude oil market manifests the key roles played by important events happening in the crude oil market and alternating attributes of crude oil. Some policy suggestions are proposed in light of these empirical results.

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Section: Data Selection and Feature Analysismentioning

confidence: 78%

Section: Hypothesesmentioning

confidence: 99%

Section: Hypothesesmentioning

confidence: 99%

Section: Dynamic Risk Spillover Of International Crude Oil Market In Different Return Trendsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

Jia

Dong²,

Yang

2021

Front. Environ. Sci.

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High-dimensional nonlinear dependence and risk spillovers analysis between China’s carbon market and its major influence factors

Zhang

Tian

et al. 2022

Ann Oper Res

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In July 2021, China began its national emissions trading scheme, marking a new stage of development for the country’s carbon market. This study analyzes the multidimensional correlation between carbon prices in the Guangdong pilot market and eight influencing factors from three perspectives (the international carbon market, energy prices, and China’s economic situation), using the ARMA-GARCH-vine copula model. The CoVaR between the carbon price and each factor is then calculated using copula-CoVaR. The results show that the crude oil market plays the primary role in the vine structure, and that the carbon market is not strongly correlated with other markets. China’s carbon market is still a regional market driven by government policy, and the international carbon and energy markets (especially the crude oil market) have upward risk spillover effects upon it. This indicates an asymmetric risk spillover between influencing factors and the carbon market. The findings of this study will help market participants prepare risk management strategies and make related investment decisions, and provide a reference for policy makers to formulate national emission trading scheme policies. Graphical abstract

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Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications

Mensi

Al‐Yahyaee

et al. 2021

Economic Analysis and Policy

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China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach

Cited by 22 publications

References 43 publications

Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

High-dimensional nonlinear dependence and risk spillovers analysis between China’s carbon market and its major influence factors

Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications

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