Do oil price asymmetric effects on the stock market persist in multiple time horizons?

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.…”

Clean, efficient and affordable energy for a sustainable future

“…Using a waveletbased complex network method, An et al [93] investigated the evolution of the global crude oil market integration and diversification leading toward the establishment of two critical reference indexes, namely the reference decision-making cycle and the target regional market for decision makers to better adjust their strategies. Next, An et al [94] combined the wavelet transformation and the vector auto-regression methods to examine the dynamic relations between the change in oil price and stock returns at various time horizons.…”

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

“…Moreover, the dependence between oil and renewable energy returns was weak in the short term but gradually strengthened as the time horizons increase. Huang et al (2015), Huang et al (2016) and Huang et al (2017) investigated the impact of oil price on the stock market performance in China using wavelet-based analysis. They found the bidirectional Granger causality relationships between energy sector stock index and the crude oil price existed in the short, medium and long terms and the energy sector index responded to crude oil price shocks negatively in the short run but positively in the medium and long runs.…”