Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach

Liu, Zhenhua; Shi, Xunpeng; Zhai, Pengxiang; Wu, Shan; Ding, Zhihua; Zhou, Yuqin

doi:10.1016/j.resourpol.2021.102381

Cited by 61 publications

(17 citation statements)

References 92 publications

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“…This result suggests asymmetry in the responses of net spillovers across Asia-Pacific stock markets to extreme downside and upside shocks. The asymmetric behavior is also observed in volatility spillovers among other financial markets during the COVID-19 pandemic (e.g., Billah et al, 2022 ; Liu et al, 2021 ; etc. ), as uncertain economic activity may affect market responses.…”

Section: Spillover Results Analysismentioning

confidence: 86%

COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets

Shi

et al. 2023

Pacific-Basin Finance Journal

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Section: Spillover Results Analysismentioning

confidence: 86%

COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets

Shi

et al. 2023

Pacific-Basin Finance Journal

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“…In addition to the studies mentioned above, other scholars have delved deeper into understanding the nature and mechanisms shaping the relationship between energy and metal markets. For instance, Liu, Shi, et al (2021) have investigated the asymmetry of the energy-metal market relationship. Their findings reveal that energy price increases significantly impact metal prices more than decreases.…”

Section: Literature Reviewmentioning

confidence: 99%

The time‐varying volatility spillover effects between China's coal and metal market

Lin,

Lan

2024

Journal of Futures Markets

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This study employs a time‐varying parameter vector autoregression methodology with the Diebold and Yilmaz spillover index to scrutinize the temporal fluctuations in volatility spillovers between the Chinese coal and metal markets. The analysis is conducted from the dual perspectives of security indices and futures prices. The findings reveal a robust correlation between the coal and metal markets, with the coal market serving as a primary conduit for volatility spillover into the metal market. Furthermore, this study investigates the time‐specific impacts of coal decommissioning policies, the COVID‐19 pandemic, and the coal supply crisis on the coal–metal market volatility spillovers. The findings indicate that these three unique shocks significantly increase the overall risk spillover index between the coal and metal markets. Moreover, during these exceptional events, the extent or role of risk spillover in the coal–metal market undergoes varying degrees of change. On the basis of these findings, this article presents pertinent policy recommendations.

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“…Naeem et al ( 2021a , 2021b ) examined the connectedness of green bonds and financial markets and identified green bonds carrying sufficient diversification benefits for other stock markets. The studies of Karim et al ( 2022a ), Arif et al ( 2021a ), and Liu et al ( 2021a , 2021b ) unveiled various useful features of sustainable, religious, and conventional markets but in an independent market setting. Nguyen et al ( 2020b ) and Naeem and Karim ( 2021 ) also stressed the diversification avenues of green investments against various financial markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Financial markets, for example, US stock market, suffered extreme declines in just a few weeks, elevating fears and tumbling cross-market network (Chen et al, 2022 ; Yousaf et al, 2023 ; Zhang et al, 2021 ). Similarly, the bond market experienced liquidity problems during the pandemic (Kargar et al, 2020 ; Liu et al, 2021a , 2021b ). In the meantime, several financial markets have been exposed to lower economic activity, financial instability, elevated uncertainty, and risk management.…”

Section: Introductionmentioning

confidence: 99%

Systemic risk contagion of green and Islamic markets with conventional markets

et al. 2023

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Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.

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Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach

Cited by 61 publications

References 92 publications

COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets

COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets

The time‐varying volatility spillover effects between China's coal and metal market

Systemic risk contagion of green and Islamic markets with conventional markets

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