IDEAS home Printed from https://ideas.repec.org/a/jes/journl/y2025v16(1)p98-127.html
   My bibliography  Save this article

Dynamic connectedness analysis between crude oil price changes and Polish stock market sectors

Author

Listed:
  • Viorica Chirilă

    (Alexandru Ioan Cuza University, Iasi, Romania)

  • Alina Cristina Nuta

    (Danubius International University, Romania)

Abstract

The price of oil has registered important fluctuations over time. The crisis caused by the emergence of the COVID-19 virus caused a significant drop in the price of oil. Therefore, this article presents the research results of the spillovers of oil price changes in the sectors of stocks traded on the Polish stock market. Rolling window-based Quantile VAR (QVAR) is used, based on which the spillover indices proposed by Diebold and Yilmaz are calculated. The reference period for the daily oil prices and sector indices used is March 10, 2011 - September 9, 2022. The sectors considered are energy, oil and gas, banks, developers, chemicals, construction, basic materials, IT, media, and food. The methodology allowed obtaining results confirming a more important spillover in the right and left quantiles of the conditional distributions than in the mean and median. This situation confirms a significant spillover from oil price changes to the equity sectors traded in extreme market conditions. It was also identified that connectedness in the right tail is higher than in the left, though only for the stock market's energy and oil and gas sectors. The results highlight the importance of diversified portfolios based on sector-specific responses to oil price fluctuations and different market conditions.

Suggested Citation

  • Viorica Chirilă & Alina Cristina Nuta, 2025. "Dynamic connectedness analysis between crude oil price changes and Polish stock market sectors," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 16, pages 98-127, June.
    • Handle: RePEc:jes:journl:y:2025:v:16(1):p:98-127
    DOI: https://doi.org/10.47743/ejes-2025-0105
    as

    Download full text from publisher

    File URL: https://ejes.uaic.ro/articles/EJES2025_1601_05_CHI.pdf
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.47743/ejes-2025-0105?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Zhiyuan Pan, 2014. "Modelling tail dependence between energy market and stock markets in the BRIC countries," Applied Economics Letters, Taylor & Francis Journals, vol. 21(11), pages 789-794, July.
    2. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
    3. 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).
    4. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
    5. 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).
    6. Pan, Zhiyuan & Zheng, Xu & Gong, Yuting, 2015. "A model-free test for contagion between crude oil and stock markets," Economics Letters, Elsevier, vol. 130(C), pages 1-4.
    Full references (including those not matched with items on IDEAS)

    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.
    1. 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.
    2. Gong, Yuting & Li, Kevin X. & Chen, Shu-Ling & Shi, Wenming, 2020. "Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
    3. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
    4. Ftiti, Zied & Guesmi, Khaled & Abid, Ilyes, 2016. "Oil price and stock market co-movement: What can we learn from time-scale approaches?," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 266-280.
    5. Sevillano, María Caridad & Jareño, Francisco & López, Raquel & Esparcia, Carlos, 2024. "Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition," Energy Economics, Elsevier, vol. 131(C).
    6. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
    7. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
    8. Al-Fayoumi, Nedal & Bouri, Elie & Abuzayed, Bana, 2023. "Decomposed oil price shocks and GCC stock market sector returns and volatility," Energy Economics, Elsevier, vol. 126(C).
    9. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
    10. Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, , vol. 39(5), pages 85-130, September.
    11. Chen, Bin-xia & Sun, Yan-lin, 2023. "Extreme risk contagion between international crude oil and China's energy-intensive sectors: New evidence from quantile Granger causality and spillover methods," Energy, Elsevier, vol. 285(C).
    12. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    13. Bouri, Elie, 2015. "A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market," Energy Policy, Elsevier, vol. 85(C), pages 271-279.
    14. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2019. "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Energy Policy, Elsevier, vol. 134(C).
    15. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
    16. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Shahzad, Syed Jawad Hussain, 2017. "Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 453-483.
    17. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The impact of extreme structural oil-price shocks on clean energy and oil stocks," Energy, Elsevier, vol. 225(C).
    18. Abid, Ilyes & Goutte, Stéphane & Guesmi, Khaled & Jamali, Ibrahim, 2019. "Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets," Energy Policy, Elsevier, vol. 134(C).
    19. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    20. Maitra, Debasish & Chandra, Saurabh & Dash, Saumya Ranjan, 2020. "Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    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:jes:journl:y:2025:v:16(1):p:98-127. 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: Alupului Ciprian (email available below). General contact details of provider: https://edirc.repec.org/data/csjesro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.