Shock Transmission between Crude Oil Prices and Stock Markets

Escribano, Ana; Koczar, Monika W.; Jareño, Francisco; Esparcia, Carlos

doi:10.2139/ssrn.4065300

Cited by 2 publications

(2 citation statements)

References 76 publications

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“…Bitcoin, BNB, Ether, Tether and USD Coin found to be stable coins that provide the best protection against downward movements in oil prices, and they do not reduce investment volatility. Escribano et al (2023) and Das et al (2020) found that Bitcoin is not a superior asset over others to hedge oil-related uncertainties. Rather there is an asymmetric response of Bitcoin to market volatility like precious metals (Klein et al , 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Likewise, the association of the volatility relationship of the digital currency (Bitcoin) market to oil price movement has also been established (Ibrahim et al , 2022; Attarzadeh and Balcilar, 2022; Feng et al , 2023). In addition, it has been investigated that oil price volatility may create volatility in the stock market as supported by notable studies such as (Smyth and Narayan, 2018; Mishra, 2017; Cheema and Scrimgeour, 2019; Ivanovski and Hailemariam, 2021; Hashmi et al , 2021; Alamgir and Amin, 2021; Jiang and Liu, 2021; Managi et al , 2022 and Escribano et al , 2023). Correspondingly, cryptocurrency (Bitcoin) volatility to stock market volatility has also been studied by López-Cabarcos et al (2021), Nguyen (2022), Wang et al (2021), Bouri et al (2023), Mishra and Sakuja (2023) and Terraza et al (2024).…”

Section: Introductionmentioning

confidence: 99%

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Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Mishra,

Dash

2024

JCEFTS

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Purpose This study aims to investigate the conditional volatility of the Asian stock market concerning Bitcoin and global crude oil price movement. Design/methodology/approach This study uses the newest Dynamic Conditional Correlation (DCC)-Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to examine the conditional volatility of the stock market for Bitcoin and crude oil prices in the Asian perspective. The sample stock market includes Chinese, Indian, Japanese, Malaysian, Pakistani, Singaporean, South Korean and Turkish stock exchanges, with daily time series data ranging from 4 April 2015−31 July 2023. Findings The outcome reveals the presence of volatility clustering on the return series of crude oil, Bitcoin and all selected stock exchanges of the current study. Secondly, the outcome of DCC, manifests that there is no short-run volatility spillover from crude oil to the Malaysian, Pakistani and South Korean and Turkish stock markets, whereas Chinese, Indian, Japanese, Singapore stock exchanges show the short-run volatility spillover from crude oil in the short run. On the other hand, in the long run, there is a volatility spillover effect from crude oil to all the stock exchanges. Thirdly, the findings suggest that there is no immediate spillover of volatility from Bitcoin to the stock markets return volatility of China, India, Malaysia, Pakistan, South Korea and Singapore. In contrast, both the Japanese and Turkish stock exchanges exhibit a short-term volatility spillover from Bitcoin. In the long term, a volatility spillover effect from Bitcoin is observed in all stock exchanges except for Malaysia. Lastly, based on the outcome of conditional variance, it can be concluded that there was increase in the return volatility of stock exchanges during the period of the COVID-19 pandemic. Research limitations/implications The analysis below does not account for the bias induced due to certain small sample properties of DCC-GARCH model. There exists a huge literature that suggests other methodologies for small sample corrections such as the DCC connectedness approach. On the other hand, decisive corollaries of the conclusions drawn above have been made purely based on a comprehensive investigation of eight Asian stock exchange economies. However, there is scope for inclusive examination by considering other Nordic and Western financial markets with panel data approach to get more robust inferences about the reality. Originality/value Most of the empirical analysis in this perspective skewed towards the Nordic and Western countries. In addition to that many empirical investigations examine either the impact of crude oil price movement or Bitcoin performance on the stock market return volatility. However, none of the examinations quests the crude oil and Bitcoin together to unearth their implication on the stock market return volatility in a single study, especially in the Asian context. Hence, current investigation endeavours to examine the ramifications of Bitcoin and crude oil price movement on the stock market return volatility from an Asian perspective, which has significant implications for the investors of the Asian financial market.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Mishra,

Dash

2024

JCEFTS

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Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis

Al-Shboul,

Maghyereh

2023

Economic Structures

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This study explores the impact of real economic policy (business condition risk) on the oil–stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet coherency and partial wavelet coherency methods to isolate the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a strong impact of real economic uncertainty indices on risk connectedness, with time-varying and frequency-sensitive patterns. The results also show that during the COVID-19 crisis, higher coherencies between oil and equity volatilities exist at lower frequencies. This research provides useful insights for regulators and portfolio diversifiers.

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Shock Transmission between Crude Oil Prices and Stock Markets

Cited by 2 publications

References 76 publications

Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement

Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis

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