How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective

Jia, Xilai; An, Haizhong; Fang, Wei; Sun, Xiaoqi; Huang, Xuan

doi:10.1016/j.eneco.2015.03.008

Cited by 57 publications

(25 citation statements)

References 35 publications

(33 reference statements)

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“…The pairwise directional connectedness from Daqing to Minas and Tapes are 18.2% and 16.5%, respectively. This may be because the spatial distance of Daqing, Tapes and Minas is relatively short, and the Tapes and the Minas crude oil spot prices are employed as the related time series based on China's oil pricing rules [32].…”

Section: Pairwise Directional Connectedness Using the Full Samplementioning

confidence: 99%

Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

Xiao

Huang

2018

Sustainability

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Connectedness is the key to modern risk measurement and management. This study investigates the international connectedness of crude oil prices and explores its time-varying characteristics based on a connectedness measurement framework using daily international crude oil prices. The international connectedness of crude oil prices is investigated from three perspectives: total connectedness, total directional connectedness, and pairwise directional connectedness. We find that the total connectedness of crude oil prices is 67.3%. We also find that the crude oil prices of Tapes, Daqing, Dubai and Minas are highly affected by Brent and WTI (West Texas Intermediate) crude oil prices. Furthermore, WTI and Brent are the price makers of international crude oil prices, while Tapes, Daqing, Dubai and Minas are price takers. From the perspective of pairwise directional connectedness, we find that the degree of pairwise directional connectedness between Brent and WTI are high. Finally, the structure of international crude oil markets stays the same even after market shocks. The main contributions of this study are identification of dynamic connectedness and presentation of the network connectedness of international crude oil prices.

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“…First, this research is novel in that, we model the oil-stock relationship using wavelets and copulas, which can provide information on both dependence and tail dependence at different frequencies, as discussed in [17,18]. This unique setting provides information on both the over-time and cross-scale dynamic dependences, which are crucial for portfolio allocation and risk management.…”

Section: Introductionmentioning

confidence: 99%

Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

et al. 2020

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This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

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“…The higher the relative degree between two time series, the higher the value we give to the relative degree of the corresponding data sequences [56,57]. In the current research of economic time series, Jia et al (2015) studied the multivariate dynamic correlation of oil prices using an optimal wavelet analysis based on GCA [58].…”

Section: Grey Correlation Analysismentioning

confidence: 99%

Analysis of the Relative Price in China’s Energy Market for Reducing the Emissions from Consumption

et al. 2017

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Abstract:As a developing country, extensive carbon and sulfur emissions are associated with China's rapid social and economic development. Chief among them are the emissions from coal and oil consumption. This paper focuses on the demand side, attempting to regulate the range of relative price of oil to coal at the consumption level. Through the adjustment of the relative price, the goal of reducing the emissions of carbon and sulfur could be achieved in the market of energy consumption. Data regression is applied to investigate the functional relationship between emissions and energy prices. The results indicate that when the coal price is less than 300, the higher relative price leads to less carbon and sulfur emissions; when the coal price is more than 300 and less than 500, there exists an optimal relative price which has the least carbon emissions, and this value is not more than 11.5; when the coal price is more than 500, the smaller relative price is beneficial to decline carbon and sulfur emissions. The changed trend of relative price-sulfur emissions is very similar to relative price-carbon emissions. Compared to the present energy situation in China, the relative price of oil to coal still need to be reduced especially when coal price is more than 500.

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“…To realize the balance between distinguishing the effect and stabilizing the model, we assign ρ to the value of 0.5 by referring to Chang and Lin (1999) and Jia et al (2015), thus, the correlation matrix is displayed as:…”

Section: Financial Performance Evaluation Based On the Grey Correlatimentioning

confidence: 99%

Investigating the Influence of Green Credit on Operational Efficiency and Financial Performance Based on Hybrid Econometric Models

Chengji

Fan

Zhang

2017

IJFS

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Abstract:To understand the role of green credit in maintaining economic sustainability, we develop theoretical hypotheses including expectation, supervision and capital allocation channels to explain the impacts of green credit. Then, we use hybrid econometric models by using Chinese-listed enterprises in the energy-saving and environmental sectors from 2007 to 2015 as the research sample to verify the above hypotheses. The empirical results show that: (1) the average value of financial performance and operational efficiency is relatively low, and the endogenous abilities of those enterprises have not yet been established; (2) the issuance of green loans does not improve public expectations of enterprises in the green industry, thus the expectation channel is not supported; (3) the issuance of green loans does not necessarily improve the enterprise's operational efficiency and financial performance, thus the supervision channel hypotheses are not supported; and (4) green loans lead to an increase in financing costs, management costs, operation costs, and expenditure on R&D, thus, the capital allocation hypothesis is partly supported. Based on the empirical analysis, we also provide some countermeasures to strengthen the roles of green credit to support the development of energy-saving and environmental enterprises.

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“…Grey correlation method was one of the important methods in the Grey theory [9][10]. The Grey correlation method was called the Grey correlation degree.…”

Section: Introductionmentioning

confidence: 99%

The Application of Grey-TOPSIS Method on Teaching Quality Evaluation of the Higher Education

Song¹,

Zheng²

2015

Int. J. Emerg. Technol. Learn.

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Abstract-The teaching quality of the higher school is not only related to the development of the students, but also related to the future of our country. It can find out the problems of the higher education for colleges to evaluate the teaching quality of the higher education. And it can provide the reference for the students to apply for the colleges. In this paper, we combine the grey correlation with TOPSIS method and provide the improved Grey-TOPSIS method. Then, we evaluate the teaching quality of the higher education. The results show that the comprehensive evaluation model can evaluate reasonably the teaching quality of the higher education. And it proves the validity and reliability of the method.

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How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective

Cited by 57 publications

References 35 publications

Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Analysis of the Relative Price in China’s Energy Market for Reducing the Emissions from Consumption

Investigating the Influence of Green Credit on Operational Efficiency and Financial Performance Based on Hybrid Econometric Models

The Application of Grey-TOPSIS Method on Teaching Quality Evaluation of the Higher Education

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