IDEAS home Printed from https://ideas.repec.org/r/eee/eneeco/v64y2017icp105-117.html
   My bibliography  Save this item

A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Leovardo Mata Mata & José Antonio Núñez Mora & Ramona Serrano Bautista, 2021. "Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China," SAGE Open, , vol. 11(2), pages 21582440211, April.
  2. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
  3. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
  4. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  5. Narjess Bouslama, 2023. "Interdependence between the BRICS Stock Markets and the Oil Price since the Onset of Financial and Economic Crises," JRFM, MDPI, vol. 16(7), pages 1-22, June.
  6. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
  7. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
  8. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
  9. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
  10. Sa Xu & Ziqing Du & Hai Zhang, 2020. "Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index," Energies, MDPI, vol. 13(12), pages 1-19, June.
  11. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
  12. Pandelara, Diego & Kristjanpoller, Werner & Michell, Kevin & Minutolo, Marcel C., 2022. "A fuzzy regression causality approach to analyze relationship between electrical consumption and GDP," Energy, Elsevier, vol. 239(PE).
  13. Philomena Dadzie & Nicholas Bamegne Nambie & Belinda Ameh Obobi, 2023. "Impact of Petroleum Energy Price Volatility on Commodity Prices in Ghana," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 73-82, January.
  14. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2018. "Forecasting exchange rate using Variational Mode Decomposition and entropy theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 15-25.
  15. Iglesias-Casal, Ana & López-Penabad, María-Celia & López-Andión, Carmen & Maside-Sanfiz, José Manuel, 2020. "Diversification and optimal hedges for socially responsible investment in Brazil," Economic Modelling, Elsevier, vol. 85(C), pages 106-118.
  16. Xin Zhao & Muhammad Saeed Meo & Tella Oluwatoba Ibrahim & Noshaba Aziz & Solomon Prince Nathaniel, 2023. "Impact of Economic Policy Uncertainty and Pandemic Uncertainty on International Tourism: What do We Learn From COVID-19?," Evaluation Review, , vol. 47(2), pages 320-349, April.
  17. Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
  18. Chikashi Tsuji, 2021. "Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan," Accounting and Finance Research, Sciedu Press, vol. 10(4), pages 1-13, November.
  19. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
  20. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
  21. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
  22. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
  23. Maghyereh, Aktham I. & Awartani, Basel & Abdoh, Hussein, 2019. "The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations," Energy, Elsevier, vol. 169(C), pages 895-913.
  24. Walid Chkili, 2022. "The links between gold, oil prices and Islamic stock markets in a regime switching environment," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 169-186, March.
  25. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
  26. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
  27. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
  28. Dong, Zhiliang & An, Haizhong & Liu, Sen & Li, Zhengyang & Yuan, Meng, 2020. "Research on the time-varying network structure evolution of the stock indices of the BRICS countries based on fluctuation correlation," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 63-74.
  29. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
  30. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
  31. Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & Muhammad Abubakr Naeem & Tareq Saeed, 2022. "Oil price risk exposure of BRIC stock markets and hedging effectiveness," Annals of Operations Research, Springer, vol. 313(1), pages 145-170, June.
  32. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 217-237, June.
  33. Resat Ceylan & Mehmet Ivrendi & Muhammed Shahbaz & Tolga Omay, 2022. "Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1085-1100, January.
  34. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
  35. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
  36. Sun, Xiaolei & Chen, Xiuwen & Wang, Jun & Li, Jianping, 2020. "Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  37. Zhenhua Liu & Zhihua Ding & Rui Li & Xin Jiang & JyS. Wu & Tao Lv, 2017. "Research on differences of spillover effects between international crude oil price and stock markets in China and America," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(1), pages 575-590, August.
  38. Muhammad Ali, Khalid M. Iraqi, Abdul Waheed Khan, 2019. "Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 1-14, October.
  39. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
  40. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
  41. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
  42. Yao Axel Ehouman, 2019. "Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience," Working Papers hal-04141868, HAL.
  43. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
  44. Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
  45. Wang, Lu & Ma, Feng & Niu, Tianjiao & He, Chengting, 2020. "Crude oil and BRICS stock markets under extreme shocks: New evidence," Economic Modelling, Elsevier, vol. 86(C), pages 54-68.
  46. Mo, Bin & Chen, Cuiqiong & Nie, He & Jiang, Yonghong, 2019. "Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests," Energy, Elsevier, vol. 178(C), pages 234-251.
  47. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
  48. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
  49. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
  50. Jiang, Zhuhua & Yoon, Seong-Min, 2020. "Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis," Energy Economics, Elsevier, vol. 90(C).
  51. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
  52. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
  53. Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun, 2019. "Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 22(2), pages 71-94, November.
  54. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Hammoudeh, Shawkat, 2019. "Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look," Energy Economics, Elsevier, vol. 83(C), pages 445-466.
  55. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
  56. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
  57. Yao Axel Ehouman, 2019. "Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience," EconomiX Working Papers 2019-19, University of Paris Nanterre, EconomiX.
  58. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  59. BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
  60. Xiuwen Chen, 2023. "Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis," Applied Economics, Taylor & Francis Journals, vol. 55(48), pages 5637-5652, October.
  61. Maghyereh, Aktham I. & Abdoh, Hussein & Awartani, Basel, 2019. "Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 13-28.
  62. Khan, Khalid & Su, Chi-Wei & Umar, Muhammad & Yue, Xiao-Guang, 2021. "Do crude oil price bubbles occur?," Resources Policy, Elsevier, vol. 71(C).
  63. An, Pengli & Li, Huajiao & Zhou, Jinsheng & Li, Yang & Sun, Bowen & Guo, Sui & Qi, Yajie, 2020. "Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method," Energy, Elsevier, vol. 191(C).
  64. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Cross hedging with stock index futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 128-144.
  65. Restrepo, Natalia & Uribe, Jorge M. & Manotas, Diego, 2018. "Financial risk network architecture of energy firms," Applied Energy, Elsevier, vol. 215(C), pages 630-642.
  66. Jiang, Yonghong & Fu, Yuyuan & Ruan, Weihua, 2019. "Risk spillovers and portfolio management between precious metal and BRICS stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  67. Yonghong Jiang & Jinqi Mu & He Nie & Lanxin Wu, 2022. "Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3386-3404, July.
  68. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
  69. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
  70. Ji, Qiang & Bouri, Elie & Roubaud, David, 2018. "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 1-12.
  71. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
  72. Rayadurgam, Vikram Chandramouli & Mangalagiri, Jayasree, 2023. "Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?," Finance Research Letters, Elsevier, vol. 54(C).
  73. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
  74. Zheng, Biao & Zhang, Yuquan W. & Qu, Fang & Geng, Yong & Yu, Haishan, 2022. "Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? — A wavelet-based BEKK- GARCH-X approach," Energy, Elsevier, vol. 251(C).
  75. Tim Friedhoff & Cam-Duc Au & Philippe Krahnhof, 2023. "Analysis of the Impact of Orthogonalized Brent Oil Price Shocks on the Returns of Dependent Industries in Times of the Russian War," MUNI ECON Working Papers 2023-04, Masaryk University.
  76. Akkoc, Ugur & Civcir, Irfan, 2019. "Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model," Resources Policy, Elsevier, vol. 62(C), pages 231-239.
  77. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  78. Huang, Shupei & An, Haizhong & Huang, Xuan & Jia, Xiaoliang, 2018. "Co-movement of coherence between oil prices and the stock market from the joint time-frequency perspective," Applied Energy, Elsevier, vol. 221(C), pages 122-130.
  79. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
  80. Zhu, Huiming & Chen, Weiyan & Hau, Liya & Chen, Qitong, 2021. "Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  81. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  82. Ming Ma & Jing Zhang, 2023. "RETRACTED ARTICLE: A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks," Journal of Combinatorial Optimization, Springer, vol. 45(1), pages 1-14, January.
  83. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures," Resources Policy, Elsevier, vol. 74(C).
  84. Zhou, Wei & Gu, Qinen & Chen, Jin, 2021. "From volatility spillover to risk spread: An empirical study focuses on renewable energy markets," Renewable Energy, Elsevier, vol. 180(C), pages 329-342.
  85. 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).
  86. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.