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Risk spillovers between oil and stock markets: A VAR for VaR analysis

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  • Wen, Danyan
  • Wang, Gang-Jin
  • Ma, Chaoqun
  • Wang, Yudong

Abstract

This article investigates the risk spillover effect between oil and stock markets using a novel multivariate quantile model (i.e., the VAR for VaR approach) and pseudo impulse-response functions. We explore the risk spillover at different quantiles using daily data over the period from January 4, 2000 through August 31, 2018. Our results indicate the asymmetry in spillover effect which is significant at upside quantiles but not significant at downside quantiles. Based on subsample analysis, we find that the risk spillover becomes stronger after 2008 financial crisis, while before the crisis the spillover effect is very weak. The international evidence shows that the asymmetric risk spillover can also be found in other six major stock indices of the G7 group.

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  • 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.
  • Handle: RePEc:eee:eneeco:v:80:y:2019:i:c:p:524-535
    DOI: 10.1016/j.eneco.2019.02.005
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    Cited by:

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    3. Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
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    6. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, Open Access Journal, vol. 13(14), pages 1-24, July.

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    Keywords

    Crude oil; Stock markets; Risk spillover effect; VAR for VaR; Pseudo impulse-response functions;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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