Oil price and stock market co-movement: What can we learn from time-scale approaches?

Information transmission across stock indices and stock index futures: International evidence using wavelet framework

“…However the waste majority of papers explored international transmission mechanism across financial markets used stock indices data only, while information transmission mechanism across stock indices and stock index futures are comparatively unexplored under the wavelet approach. The existing studies investigated spot-futures relationships (e.g., Gannon & Choi, 1998;Zhong et al, 2004;Yang et al, 2011;Antonakakis et al, 2015) employed standard finance methodologies, and evidence from wavelets approach is very limited (e.g., Li, 2015) and mainly restricted to commodity futures (e.g., Chang & Lee, 2015;Akoum et al, 2012;Ftiti, 2015). The paper fills this gap in literature, providing the results, which are significantly important for price discovery, predictability, and international portfolio diversification.…”

“…First, the wavelet methodology becomes one of the popular tools in the economics and finance field, due to its mature ability to uncover latent processes with changing cyclical patterns and trends, and non-stationarity . There are two types of wavelet analysis can be employed: i) continuous wavelet transform (CWT), which is useful for examining lead-lag interactions between time series in different time scales; ii) discrete wavelet transform (DWT), which has time-invariant property and the scales are strongly dependent on the data length (Ftiti et al, 2015). Thus we employ CWT to identify comovements between futures and spot markets during the target estimation period.…”

A Treatise on Oil Price Shocks and their Implications for the UK Financial Sector: Analysis Based on Time‐Varying Structural VAR Model

“…() on Middle‐East, Ftiti et al . () on G‐7 and Cai et al . () on the East Asian countries found significant differences in the response of different sectors to oil shocks.…”

“…Their findings were complemented by Ftiti et al . () analysis on the stock markets in the G‐7 countries, they reported that the oil price interaction with the stock market was more pronounced in the short and medium term than long term. Similarly, Cai et al .…”

Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis

“…Ajmi et al (2014), Boldanov et al (2016a), Bašta and Molnár (2018), and Roubaud and Arouri (2018) have shown that correlation between oil and the related stock market performance are responsive to major economic and geopolitical events (see , , and Fang et al (2018)), such as the early-2000 recession, the 9/11 terrorist attacks, and the Global Financial Crisis of 2007-2009. Results upgraded by Zhang (2017) who considers the effect of oil price shocks and uncovers occasional yet very significant effects of oil price shocks on stock markets, Chen and Lv (2015), Zheng and Su (2017) and Bouri et al (2017) for China specifically (see Sanusi and Ahmad (2016) and Diaz and de Gracia (2017) for the effects of oil price shocks on stock returns of oil and gas corporations), and Boldanov et al (2016b), Ftiti et al (2016), Jammazi et al (2017, who consider a time-varying methodology in studying the relationship between oil price shocks and stock market returns in the BRICs (see Pönkä (2016), Luo and Qin (2017), Ping et al (2018), Mensi et al (2018), and Bouri et al (2018) or Evgenidis (2018) for the Euro Area and Caporin et al (2018) for the S&P 500 index) 1 . Boldanov et al (2016a) focus on six major oil-importing and oil-exporting countries with a Diag-BEKK model being employed over the January 2000 to December 2014.…”