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Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis

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Cited by:

  1. 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).
  2. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
  3. Faheem Aslam & Paulo Ferreira & Haider Ali & Ana Ercília José, 2022. "Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats," Sustainability, MDPI, vol. 14(10), pages 1-23, May.
  4. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
  5. Koushik Mandal & Radhika Prosad Datta, 2022. "Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 192-201, September.
  6. Inzamam Ul Haq & Paulo Ferreira & Apichit Maneengam & Worakamol Wisetsri, 2022. "Rare Earth Market, Electric Vehicles and Future Mobility Index: A Time-Frequency Analysis with Portfolio Implications," Risks, MDPI, vol. 10(7), pages 1-20, July.
  7. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
  8. Wen, Fenghua & Liu, Zhen & Dai, Zhifeng & He, Shaoyi & Liu, Wenhua, 2022. "Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach," Energy Economics, Elsevier, vol. 109(C).
  9. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  10. 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).
  11. Yousfi, Mohamed & Ben Zaied, Younes & Ben Cheikh, Nidhaleddine & Ben Lahouel, Béchir & Bouzgarrou, Houssem, 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
  12. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, vol. 73(C).
  13. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
  14. Li, Dongxin & Hong, Yanran & Wang, Lu & Xu, Pengfei & Pan, Zhigang, 2022. "Extreme risk transmission among bitcoin and crude oil markets," Resources Policy, Elsevier, vol. 77(C).
  15. Emmanuel Uche & Lionel Effiom, 2021. "Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2021(1), pages 59-79.
  16. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
  17. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
  18. Marcos Albuquerque Junior & José António Filipe & Paulo de Melo Jorge Neto & Cristiano da Costa da Silva, 2021. "Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio," Mathematics, MDPI, vol. 9(5), pages 1-16, March.
  19. Bilgili, Faik & Koçak, Emrah & Kuşkaya, Sevda & Bulut, Ümit, 2020. "Estimation of the co-movements between biofuel production and food prices: A wavelet-based analysis," Energy, Elsevier, vol. 213(C).
  20. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
  21. Mensi, Walid & Aslan, Aylin & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 219-232.
  22. Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  23. Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
  24. 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).
  25. Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
  26. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
  27. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  28. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
  29. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
  30. Ahmed A. Elamer & Bassam A. Elbialy & Kholoud A. Alsaab & Mohamed A. Khashan, 2022. "The Impact of COVID-19 on the Relationship between Non-Renewable Energy and Saudi Stock Market Sectors Using Wavelet Coherence Approach and Neural Networks," Sustainability, MDPI, vol. 14(21), pages 1-24, November.
  31. Ge, Zhenyu, 2023. "The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 120-125.
  32. Prange, Philipp, 2021. "Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches," Energy Economics, Elsevier, vol. 99(C).
  33. Cheng, Sheng & Zhang, Zongyou & Cao, Yan, 2022. "Can precious metals hedge geopolitical risk? Fresh sight using wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).
  34. Guohua Liu & Mohammed Arshad Khan & Ahsanuddin Haider & Moin Uddin, 2022. "Financial Development and Environmental Degradation: Promoting Low-Carbon Competitiveness in E7 Economies’ Industries," IJERPH, MDPI, vol. 19(23), pages 1-16, December.
  35. 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).
  36. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
  37. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
  38. Zhang, Zhengyong & Bouri, Elie & Klein, Tony & Jalkh, Naji, 2022. "Geopolitical risk and the returns and volatility of global defense companies: A new race to arms?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  39. Shehzad, Khurram & Bilgili, Faik & Zaman, Umer & Kocak, Emrah & Kuskaya, Sevda, 2021. "Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach," Resources Policy, Elsevier, vol. 73(C).
  40. 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).
  41. Vamsidhar Ambatipudi & Dilip Kumar, 2022. "Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 184-210, June.
  42. Chen, Haibo, 2023. "Coupling high natural resources and carbon emission efficiency on economic growth in China," Resources Policy, Elsevier, vol. 85(PB).
  43. Farid, Saqib & Naeem, Muhammad Abubakr & Paltrinieri, Andrea & Nepal, Rabindra, 2022. "Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities," Energy Economics, Elsevier, vol. 109(C).
  44. Taicir Mezghani & Mouna Boujelbène Abbes, 2023. "Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 505-530, September.
  45. Jiang, He & Hu, Weiqiang & Xiao, Ling & Dong, Yao, 2022. "A decomposition ensemble based deep learning approach for crude oil price forecasting," Resources Policy, Elsevier, vol. 78(C).
  46. Lee, Chien-Chiang & Zhou, Hegang & Xu, Chao & Zhang, Xiaoming, 2023. "Dynamic spillover effects among international crude oil markets from the time-frequency perspective," Resources Policy, Elsevier, vol. 80(C).
  47. Tian, Maoxi & Alshater, Muneer M. & Yoon, Seong-Min, 2022. "Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model," Energy Economics, Elsevier, vol. 115(C).
  48. McLean, Sheldon & Charles, Don & Rajkumar, Antonio, 2021. "Navigating transfer pricing risk in the oil and gas sector: Essential elements of a policy framework for Trinidad and Tobago and Guyana," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean 101, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  49. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
  50. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).
  51. McLean, Sheldon & Charles, Don & Rajkumar, Antonio, 2021. "Navigating transfer pricing risk in the oil and gas sector: Essential elements of a policy framework for Trinidad and Tobago and Guyana," Studies and Perspectives – ECLAC Subregional Headquarters for The Caribbean 46813, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  52. Hammoudeh, Shawkat & Mokni, Khaled & Ben-Salha, Ousama & Ajmi, Ahdi Noomen, 2021. "Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic?," Energy Economics, Elsevier, vol. 103(C).
  53. Cervantes, Paula & Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2022. "The impact of COVID-19 induced panic on stock market returns: A two-year experience," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 1075-1097.
  54. Karkowska, Renata & Urjasz, Szczepan, 2023. "How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  55. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  56. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
  57. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
  58. Managi, Shunsuke & Yousfi, Mohamed & Ben Zaied, Younes & Ben Mabrouk, Nejah & Ben Lahouel, Béchir, 2022. "Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 129-139.
  59. Ngo Thai HUNG, 2022. "Re-Study on Dynamic Connectedness between Macroeconomic Indicators and the Stock Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 104-124, April.
  60. Xie, Qiwei & Liu, Ranran & Qian, Tao & Li, Jingyu, 2021. "Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach," Energy Economics, Elsevier, vol. 102(C).
  61. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
  62. Pan, Zhiyuan & Huang, Xiao & Liu, Li & Huang, Juan, 2023. "Geopolitical uncertainty and crude oil volatility: Evidence from oil-importing and oil-exporting countries," Finance Research Letters, Elsevier, vol. 52(C).
  63. Bilgili, Faik & Lorente, Daniel Balsalobre & Kuşkaya, Sevda & Ünlü, Fatma & Gençoğlu, Pelin & Rosha, Pali, 2021. "The role of hydropower energy in the level of CO2 emissions: An application of continuous wavelet transform," Renewable Energy, Elsevier, vol. 178(C), pages 283-294.
  64. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2022. "Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 18-30, September.
  65. Kliber, Agata & Łęt, Blanka, 2022. "Degree of connectedness and the transfer of news across the oil market and the European stocks," Energy, Elsevier, vol. 239(PC).
  66. 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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