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Causality-in-quantiles between crude oil and stock markets: Evidence from emerging economies

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  • Bhatia, Vaneet
  • Basu, Sankarshan

Abstract

This study investigates the asymmetric effect of crude oil shocks on emerging sectoral stock indices using a non-parametric causality-in-quantiles approach. This study considers the origin of the oil shock i.e. demand shock or supply shock to investigate its impact on various sectors in mean and volatility. We find that the impact of crude oil is heterogeneous across shocks (demand or supply), market states (bullish, bearish and normal) and to a limited extent across sectors. Observing a similar pattern of crude oil's impact on emerging sectors, we argue that the influence of crude oil shocks extends beyond energy-intensive sectors.

Suggested Citation

  • Bhatia, Vaneet & Basu, Sankarshan, 2021. "Causality-in-quantiles between crude oil and stock markets: Evidence from emerging economies," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320300672
    DOI: 10.1016/j.frl.2020.101736
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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