Addressing COP21 using a stock and oil market integration index
Author
Abstract
Suggested Citation
DOI: 10.1016/j.enpol.2018.01.048
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Pukthuanthong, Kuntara & Roll, Richard, 2009. "Global market integration: An alternative measure and its application," Journal of Financial Economics, Elsevier, vol. 94(2), pages 214-232, November.
- Boubakri, Salem & Guillaumin, Cyriac, 2011.
"Financial integration and currency risk premium in CEECs: Evidence from the ICAPM,"
Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
- Salem Boubakri & Cyriac Guillaumin, 2011. "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print halshs-00639224, HAL.
- Geert Bekaert & Campbell R. Harvey, 2000.
"Foreign Speculators and Emerging Equity Markets,"
Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
- Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014.
"The evolution of risk premium as a measure for intra-regional equity market integration,"
International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
- Khaled Guesmi & Frederic Teulon & Ahmed Taneem Muzaffar, 2014. "The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration," Working Papers 2014-365, Department of Research, Ipag Business School.
- Guesmi, Khaled & Nguyen, Duc Khuong, 2011.
"How strong is the global integration of emerging market regions? An empirical assessment,"
Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Working Papers hal-04141010, HAL.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," EconomiX Working Papers 2011-9, University of Paris Nanterre, EconomiX.
- Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
- Solnik, Bruno H, 1977. "Testing International Asset Pricing: Some Pessimistic Views," Journal of Finance, American Finance Association, vol. 32(2), pages 503-512, May.
- Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017.
"Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data,"
Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015. "Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data," Working Papers 201572, University of Pretoria, Department of Economics.
- Demirer, Rıza & Lee, Hsiang-Tai & Lien, Donald, 2015. "Does the stock market drive herd behavior in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 32-44.
- Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2015. "Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia," Economic Modelling, Elsevier, vol. 51(C), pages 340-358.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Tsai, Chun-Li, 2015. "How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?," Energy Economics, Elsevier, vol. 50(C), pages 47-62.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
- Jing Chi & Ke Li & Martin Young, 2006. "Financial Integration In East Asian Equity Markets," Pacific Economic Review, Wiley Blackwell, vol. 11(4), pages 513-526, December.
- Sadorsky, Perry, 2014. "Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat," Energy Economics, Elsevier, vol. 43(C), pages 72-81.
- Khalfaoui, R. & Boutahar, M. & Boubaker, H., 2015. "Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis," Energy Economics, Elsevier, vol. 49(C), pages 540-549.
- Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
- Malova, Aleksandra & van der Ploeg, Frederick, 2017. "Consequences of lower oil prices and stranded assets for Russia's sustainable fiscal stance," Energy Policy, Elsevier, vol. 105(C), pages 27-40.
- Khaled Guesmi & Frédéric Teulon, 2014.
"The determinants of regional stock market integration in middle east: A conditional ICAPM approach,"
International Economics, CEPII research center, issue 137, pages 22-31.
- Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach," Working Papers 2014-214, Department of Research, Ipag Business School.
- Bekaert, Geert & Harvey, Campbell R, 1995.
"Time-Varying World Market Integration,"
Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
- Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
- repec:cii:cepiei:2014-q1-137-2 is not listed on IDEAS
- Brown, Stephen P.A. & Huntington, Hillard G., 2015. "Evaluating U.S. oil security and import reliance," Energy Policy, Elsevier, vol. 79(C), pages 9-22.
- Keho, Yaya, 2016. "What drives energy consumption in developing countries? The experience of selected African countries," Energy Policy, Elsevier, vol. 91(C), pages 233-246.
- Cyn‐Young PARK & Jong‐Wha LEE, 2011.
"Financial Integration in Emerging Asia: Challenges and Prospects,"
Asian Economic Policy Review, Japan Center for Economic Research, vol. 6(2), pages 176-198, December.
- Park, Cyn-Young & Lee, Jong-Wha, 2011. "Financial Integration in Emerging Asia: Challenges and Prospects," Working Papers on Regional Economic Integration 79, Asian Development Bank.
- Fragkos, Panagiotis & Tasios, Nikos & Paroussos, Leonidas & Capros, Pantelis & Tsani, Stella, 2017. "Energy system impacts and policy implications of the European Intended Nationally Determined Contribution and low-carbon pathway to 2050," Energy Policy, Elsevier, vol. 100(C), pages 216-226.
- Murphy, Fionnuala & McDonnell, Kevin, 2017. "Investigation of the potential impact of the Paris Agreement on national mitigation policies and the risk of carbon leakage; an analysis of the Irish bioenergy industry," Energy Policy, Elsevier, vol. 104(C), pages 80-88.
- Jongkyou Jeon & Yonghyup Oh & Doo Yong Yang, 2006. "Financial Market Integration in East Asia: Regional or Global?," Asian Economic Papers, MIT Press, vol. 5(1), pages 73-89, Winter.
- Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
- Dragomirescu-Gaina, Catalin & Galariotis, Emilios & Philippas, Dionisis, 2021.
"Chasing the ‘green bandwagon’ in times of uncertainty,"
Energy Policy, Elsevier, vol. 151(C).
- Catalin Dragomirescu-Gaina & Emilios Galariotis & Dionisis Philippas, 2021. "Chasing the ‘green bandwagon’ in times of uncertainty," Post-Print hal-03142447, HAL.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
- Nahida Akter & Ashadun Nobi, 2018. "Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution," JRFM, MDPI, vol. 11(2), pages 1-10, April.
- Husain, Shaiara & Sohag, Kazi & Wu, Yanrui, 2022.
"The response of green energy and technology investment to climate policy uncertainty: An application of twin transitions strategy,"
Technology in Society, Elsevier, vol. 71(C).
- Shaiara Husain & Kazi Sohag & Yanrui Wu, 2022. "The Response of Green Energy and Technology Investment to Climate Policy Uncertainty: An Application of Twin Transition Strategy," Economics Discussion / Working Papers 22-16, The University of Western Australia, Department of Economics.
- Shahbaz, Muhammad & Nasir, Muhammad Ali & Roubaud, David, 2018.
"Environmental degradation in France: The effects of FDI, financial development, and energy innovations,"
Energy Economics, Elsevier, vol. 74(C), pages 843-857.
- Shahbaz, Muhammad & Nasir, Muhammad Ali & Roubaud, David, 2018. "Environmental Degradation in France: The Effects of FDI, Financial Development, and Energy Innovations," MPRA Paper 88195, University Library of Munich, Germany, revised 16 Jul 2018.
- 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.
- Ren, Yi-Shuai & Klein, Tony & Jiang, Yong & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Dynamic spillovers among global oil shocks, economic policy uncertainty, and inflation expectation uncertainty under extreme shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin & Lu, Tuantuan, 2021. "Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective," Energy, Elsevier, vol. 217(C).
- Akhtaruzzaman, Md & Boubaker, Sabri & Chiah, Mardy & Zhong, Angel, 2021.
"COVID−19 and oil price risk exposure,"
Finance Research Letters, Elsevier, vol. 42(C).
- Md Akhtaruzzaman & Sabri Boubaker & Mardy Chiah & Angel Zhong, 2021. "COVID−19 and oil price risk exposure," Post-Print hal-04455591, HAL.
- Meléndez-Jiménez, Miguel A. & Polanski, Arnold, 2020.
"Dirty neighbors — Pollution in an interlinked world,"
Energy Economics, Elsevier, vol. 86(C).
- Miguel A. Meléndez-Jiménez & Arnold Polanski, 2018. "Dirty neighbors: Pollution in an interlinked world," Working Papers 2018-06, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
- 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.
- Rehman, Mobeen Ur & Nautiyal, Neeraj & Ghardallou, Wafa & Vo, Xuan Vinh & Zeitun, Rami, 2023. "Comovement and spillover among energy markets: A Comparison across different crisis periods," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 277-302.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
- Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
- Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
- Khaled Guesmi & Frédéric Teulon, 2014.
"The determinants of regional stock market integration in middle east: A conditional ICAPM approach,"
International Economics, CEPII research center, issue 137, pages 22-31.
- Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach," Working Papers 2014-214, Department of Research, Ipag Business School.
- repec:ipg:wpaper:2014-415 is not listed on IDEAS
- Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018.
"Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach,"
Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
- Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015. "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers 201595, University of Pretoria, Department of Economics.
- Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014.
"The evolution of risk premium as a measure for intra-regional equity market integration,"
International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
- Khaled Guesmi & Frederic Teulon & Ahmed Taneem Muzaffar, 2014. "The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration," Working Papers 2014-365, Department of Research, Ipag Business School.
- Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
- Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).
- Boubakri, Salem & Guillaumin, Cyriac, 2015.
"Regional integration of the East Asian stock markets: An empirical assessment,"
Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
- Salem Boubakri & Cyriac Guillaumin, 2015. "Regional integration of the East Asian stock markets : an empirical assessment," Post-Print halshs-01195916, HAL.
- Guesmi, Khaled & Nguyen, Duc Khuong, 2011.
"How strong is the global integration of emerging market regions? An empirical assessment,"
Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," EconomiX Working Papers 2011-9, University of Paris Nanterre, EconomiX.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Working Papers hal-04141010, HAL.
- Khaled Guesmi & Duc Khuong Nguyen, 2013. "Regional integration of stock markets in Southeast Europe," Working Papers 2013-22, Department of Research, Ipag Business School.
- Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
- Yao, Shujie & He, Hongbo & Chen, Shou & Ou, Jinghua, 2018. "Financial liberalization and cross-border market integration: Evidence from China's stock market," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 220-245.
- Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017. "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 565-581, September.
- Khaled Guesmi & Frédéric Teulon, 2013. "Regional Equity Risk Premium Convergence: The case of Japan," Working Papers 2013-6, Department of Research, Ipag Business School.
- Khaled Guesmi & Mohamed Hedi Arouri & Ilyes Abid & Frédéric Teulon, 2013.
"On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?,"
Economics Bulletin, AccessEcon, vol. 33(1), pages 597-611.
- Ilyes Abid & Mohamed El Hedi Arouri & Khaled Guesmi & Frederic Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents?," Post-Print hal-01410579, HAL.
- Khaled Guesmi & Ilyes Abid & Mohamed Hedi Arouri & Frédéric Teulon, 2014. "On the determinants of equity international risk premium : Are emerging zones different ?," Working Papers 2014-322, Department of Research, Ipag Business School.
- repec:ipg:wpaper:2013-006 is not listed on IDEAS
- Khaled Guesmi & Duc Khuong Nguyen & Frédéric Teulon, 2013. "Further evidence on the determinants of regional stock market integration in Latin America," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 10(3), pages 397-413, December.
- Guesmi, Khaled & Moisseron, Jean-Yves & Teulon, Frédéric, 2014.
"Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 204-212.
- Khaled Guesmi & Jean-Yves Moisseron & Frédéric Teulon, 2014. "Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk," Working Papers 2014-293, Department of Research, Ipag Business School.
More about this item
Keywords
Commodities; COP21; Financial market integration; International asset pricing; Market risk; WTI Oil; Risk of climate change; Systematic risk;All these keywords.
JEL classification:
- F15 - International Economics - - Trade - - - Economic Integration
- F2 - International Economics - - International Factor Movements and International Business
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:116:y:2018:i:c:p:127-136. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/enpol .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.