Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Jiang, Yonghong; Tian, Gengyu; Mo, Bin

doi:10.1186/s40854-020-00208-y

Cited by 56 publications

(22 citation statements)

References 84 publications

(116 reference statements)

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“…Such changes in energy prices led to risk in economic activities (Jibril et al 2020 ), forcing various countries to use different adequate state policies and procedures to rely less on oil. In the same vein, this supports that investors will be more careful when pursuing investment activities related to commodity and equity markets, led by the crude oil market (Jiang et al 2020 ). Although globalization promotes dependence across markets, such relationships are not forthright, especially with emerging alternative financial products (Qarni and Gulzar 2021 ).…”

Section: Introductionmentioning

confidence: 62%

Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?

Gurrib

Nourani

Kumar³

2022

Financ Innov

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This paper investigates the role of Fibonacci retracements levels, a popular technical analysis indicator, in predicting stock prices of leading U.S. energy companies and energy cryptocurrencies. The study methodology focuses on applying Fibonacci retracements as a system compared with the buy-and-hold strategy. Daily crypto and stock prices were obtained from the Standard & Poor's composite 1500 energy index and CoinMarketCap between November 2017 and January 2020. This study also examined if the combined Fibonacci retracements and the price crossover strategy result in a higher return per unit of risk. Our findings revealed that Fibonacci retracement captures energy stock price changes better than cryptos. Furthermore, most price violations were frequent during price falls compared to price increases, supporting that the Fibonacci instrument does not capture price movements during up and downtrends, respectively. Also, fewer consecutive retracement breaks were observed when the price violations were examined 3 days before the current break. Furthermore, the Fibonacci-based strategy resulted in higher returns relative to the naïve buy-and-hold model. Finally, complementing Fibonacci with the price cross strategy did not improve the results and led to fewer or no trades for some constituents. This study’s overall findings elucidate that, despite significant drops in oil prices, speculators (traders) can implement profitable strategies when using technical analysis indicators, like the Fibonacci retracement tool, with or without price crossover rules.

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Section: Introductionmentioning

confidence: 62%

Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?

Gurrib

Nourani

Kumar³

2022

Financ Innov

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“…Moreover, they specify that the effects become different in underlying causes of oil price changes. Reboredo and Rivera-Castro (2014) indicate that oil price changes did not affect aggregate and sector indices in the pre-2008 financial crisis period in Europe and U.S. Jiang et al (2020) demonstrate no significant correlation between crude oil and the stock market in G7 (Group of Seven) countries. Finally, Akdeniz et al (2021) remark on the changing of the positive impact of crude oil to a negative impact during the pandemic period.Many studies also investigate the volatility spillover relationship between oil and stock markets.…”

Section: Micro-level Interactionmentioning

confidence: 93%

VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

Gençyürek

Eki̇nci̇

Ağan³

2022

eab

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The study aims to analyze volatility spillover between the oil market (WTI) and S&P Energy, Financial, and Industry sector indices in terms of conditional correlation and variance causality. DCC-GARCH and Hafner-Herwartz (2006) Variance Causality Analysis were used to analyze the daily data span from January 2012 to December 2019. As a conclusion, in this study has been revealed that there is a positive time-varying conditional correlation between the oil market and sector indices. Besides, hedge ratio and risk minimizing portfolio weights, which are vital for investors, have been calculated based on these data. The cheapest hedging transaction with the oil market occurs with the financial sector, the most expensive one takes place with the energy sector. Also, it has been determined that volatility transmission is from sector indices to the oil market. This situation means that, S&P sector indices play a key role (resource of information- emit information) in volatility spillover. The results provide important information to researches, investors and policy-makers. Çalışmanın amacı, petrol piyasası (WTI) ile S&P Enerji, Finansal ve Sanayi sektör endeksleri arasındaki ilişkiyi koşullu korelasyon ve varyans nedenselliği bakımından incelemektir. DCC-GARCH ve and Hafner-Herwartz (2006) Varyans Nedensellik modelleri Ocak 2012-Aralık 2019 dönemi günlük verilerini analiz etmek için kullanılmıştır. Çalışma sonucunda petrol piyasası ile sektör endeksleri arasında zamana bağlı değişim gösteren pozitif koşullu korelasyon ilişkisi olduğu belirlenmiştir. İlaveten, elde edilen sonuçlardan yararlanarak yatırımcılar açısından oldukça önemli olan korunma rasyosu ve riski minimize eden portföy ağırlıkları hesaplanmıştır. Petrol piyasası ile en ucuz korunma işlemi finans sektörüyle, en pahalı korunma işlemi ise; enerji sektörüyle olmuştur. Bunun yanında, volatilite iletiminin sektör endekslerinden petrol piyasasına doğru olduğu belirlenmiştir. Bu durum S&P sektör endekslerinin volatilite yayılımında önemli bir role sahip (bilginin kaynağı, bilgi yayan) olduğunu göstermektedir. Elde edilen sonuçlar araştırmacılar, yatırımcılar ve politika yapıcılar açısından önemli bilgiler sunmaktadır.

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“…Based on this, this paper puts forward the following hypothesis: H3: Energy investment plays a moderating role in promoting the inhibition of PM2.5 by energy efficiency. Different countries are in different dimensions of development degree, scientific & technological level, new energy level and other aspects (Mo et al, 2018;Jiang et al, 2020). These differences lead to variation in energy consumption level, equipment and efficiency level, which will make the environmental protection effect of energy efficiency vary to a certain extent.…”

Section: H2mentioning

confidence: 99%

Does Energy Efficiency Affect Ambient PM2.5? The Moderating Role of Energy Investment

Yang

Albitar

2021

Front. Environ. Sci.

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The difficulty of balance between environment and energy consumption makes countries and enterprises face a dilemma, and improving energy efficiency has become one of the ways to solve this dilemma. Based on the data of 158 countries from 1980 to 2018, the dynamic TFP of different countries is calculated by means of the Super-SBM-GML model. The TFP is decomposed into indexes of EC (Technical Efficiency Change), TC (Technological Change) and EC has been extended to PEC (Pure Efficiency Change) and SEC (Scale Efficiency Change). Then the fixed effect model and the fixed effect panel quantile model are used to analyze the moderating effect and the exogenous effect of energy efficiency on PM2.5 concentration on the basis of verifying that energy efficiency can reduce PM2.5 concentration. We conclude, first, the global energy efficiency has been continuously improved during the sample period, and both technological progress and technical efficiency have been improved. Second, the impact of energy efficiency on PM2.5 is heterogeneous which is reflected in the various elements of energy efficiency decomposition. The increase in energy efficiency can inhibit PM2.5 concentration and the inhibition effect mainly comes from TC and PEC, but SEC promotes PM2.5 emission. Third, energy investment plays a moderating role in the environmental protection effect of energy efficiency. Fourth, the impact of energy efficiency on PM2.5 concentration is heterogeneous in terms of national attribute, which is embodied in the differences of national development, science and technology development level, new energy utilization ratio, and the role of international energy trade.

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Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Cited by 56 publications

References 84 publications

Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?

Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?

VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

Does Energy Efficiency Affect Ambient PM2.5? The Moderating Role of Energy Investment

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