How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques
OB Adekoya, JA Oliyide - Resources Policy, 2021 - Elsevier
With many commodity and financial markets reportedly experiencing poor performances
during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on …
during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on …
Volatility spillovers between stock and energy markets during crises: A comparative assessment between the 2008 global financial crisis and the COVID-19 pandemic …
This paper investigates volatility spillovers between energy and stock markets during
periods of crises. Our main findings reveal that transmissions of volatilities among these …
periods of crises. Our main findings reveal that transmissions of volatilities among these …
Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model
Unlike previous studies, we employ a relatively newer modelling technique—a time-varying
copula with a switching dependence—to characterise the conditional dependence between …
copula with a switching dependence—to characterise the conditional dependence between …
Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression
W You, Y Guo, H Zhu, Y Tang - Energy Economics, 2017 - Elsevier
This paper investigates the impact of crude oil shocks and China's economic policy
uncertainty on stock returns at different locations on the return distributions. Based on …
uncertainty on stock returns at different locations on the return distributions. Based on …
The asymmetric effects of oil price on sectoral Islamic stocks: new evidence from quantile-on-quantile regression approach
This study extends the existing literature by examining the impact of oil prices on the Dow
Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical …
Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical …
Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
This paper investigates the dynamic dependence and risk spillover between BRICS stock
returns and different types of oil shocks, combining the Structural VAR model and time …
returns and different types of oil shocks, combining the Structural VAR model and time …
The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters
This study examines the multiscale spillovers and nonlinear causalities between the crude
oil futures market and the stock markets of the United States (US), Canada, China, Russia …
oil futures market and the stock markets of the United States (US), Canada, China, Russia …
Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities
We investigate the spillovers and hedging between US equity sector returns and oil, gold,
Islamic stocks, and the implied volatilities of oil (OVX) and US stock market (VIX) based on …
Islamic stocks, and the implied volatilities of oil (OVX) and US stock market (VIX) based on …
Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover
K Yang, Y Wei, S Li, J He - Journal of Cleaner Production, 2021 - Elsevier
This paper investigates the risk spillovers from geopolitical risk to five renewable energy
stock markets by measuring four types of (normalized) delta conditional Value-at-Risk …
stock markets by measuring four types of (normalized) delta conditional Value-at-Risk …
Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak
B Abuzayed, N Al-Fayoumi - The North American Journal of Economics and …, 2021 - Elsevier
In this study, we examine oil price extreme tail risk spillover to individual Gulf Cooperation
Council (GCC) stock markets and quantify this spillover's shift before and during the COVID …
Council (GCC) stock markets and quantify this spillover's shift before and during the COVID …