2017
DOI: 10.1016/j.iref.2017.03.007
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Abstract: This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu et al. (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend… Show more

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Cited by 82 publications
(32 citation statements)
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References 76 publications
(164 reference statements)
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“…In addition, they show that these bidirectional effects are more prominent after the GFC of 2007-09. Jammazi et al (2017) also report bidirectional causality between oil and stock markets, which tend to intensify during period of economic turbulence. Zhang (2017), on the other hand, shows that the oil market may impact stock returns over time, nevertheless, when considering a wider set of global financial markets, the findings suggest that oil has a marginal effect.…”
Section: Time-varying Relationshipmentioning
confidence: 99%
“…In addition, they show that these bidirectional effects are more prominent after the GFC of 2007-09. Jammazi et al (2017) also report bidirectional causality between oil and stock markets, which tend to intensify during period of economic turbulence. Zhang (2017), on the other hand, shows that the oil market may impact stock returns over time, nevertheless, when considering a wider set of global financial markets, the findings suggest that oil has a marginal effect.…”
Section: Time-varying Relationshipmentioning
confidence: 99%
“…The most existing works focus on the long-term causality between time series, ignoring the dynamic adjustment mechanism of short-term fluctuation toward to the long-term equilibrium 28 31 . Recently, some studies developed various time-varying causality methods to investigate the dynamical linkages between some economic variables, such as stock market and exchange rate, spot and futures crude oil prices, and crude oil and stock markets 32 36 . However, these researches still essentially analyzed the causalities between bivariate time series, lacking the systematic perspective to uncover the hidden dynamic interaction information between multivariate time series, and to understand the evolution mechanism of the complicated system.…”
Section: Introductionmentioning
confidence: 99%
“…Overall findings reported that stock indices of Portugal, Italy and Spain had strong interaction during crisis. Jammazi et al (2017) investigated time varying nature of causal interaction of oil price change and stock returns of six oil importing countries through multiresolution analysis in wavelet decomposition framework and dynamic causality test. Significant causal links were discovered in short duration during the periods of financial crisis.…”
Section: Literature Reviewmentioning
confidence: 99%
“…One set deals with exploring the interplay pattern in aggregate financial time series (Kaura et al, 2018;Singhal & Ghosh, 2016). The other segment furnishes a granular level inspection of interaction in short and long run through time series decomposition by various means (Jammazi et al, 2017;Liu et al, 2017), Sen and Datta Chaudhuri (2016)). The present study attempts to contribute to the second category of literature.…”
Section: Introductionmentioning
confidence: 99%