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

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  • Yonghong Jiang

    (Jinan University)

  • Gengyu Tian

    (Jinan University)

  • Bin Mo

    (Guangzhou University)

Abstract

The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ Rev 99(3):1053–1069, 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources. Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns. There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.

Suggested Citation

  • Yonghong Jiang & Gengyu Tian & Bin Mo, 2020. "Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
    • Handle: RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00208-y
    DOI: 10.1186/s40854-020-00208-y
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    Keywords

    Oil supply shock; Oil aggregate demand shock; Oil specific demand shock; Stock market; Spillover effect; Quantile-on-quantile;
    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
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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