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Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?

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  • Jiang, Kunliang
  • Ye, Wuyi

Abstract

Earlier studies have confirmed the asymmetry as a key feature of return volatility and risk spillovers. However, little research has explored the impact of asymmetric dependence volatility on risk spillovers. In this paper, we propose the asymmetric generalized autoregressive score-time-varying mixture model to analyze this issue. Using a dataset covering the crude oil market and BRICS stock markets from January 11, 2000 to June 11, 2021, we find the tail dependence of these markets is falling faster than it is rising, and this feature is more significant in upper tail dependence. Also, the capture of asymmetric dependence volatility is beneficial for the estimation of risk spillovers. Moreover, the risk from the crude oil market amplifies the downside risks in BRICS stock markets. In addition, downside risk spillovers between these markets are significant during the COVID-19 pandemic.

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  • Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
    • Handle: RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838
    DOI: 10.1016/j.econmod.2022.106046
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    Cited by:

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    2. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    3. Cheng, Sheng & Deng, MingJie & Liang, Ruibin & Cao, Yan, 2023. "Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies," Resources Policy, Elsevier, vol. 82(C).
    4. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
    5. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
    6. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).

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    More about this item

    Keywords

    Asymmetric score-driven model; Risk spillover; Asymmetric dependence volatility; Dynamic mixture copul; Crude oil market; BRICS stock markets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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