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Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes

Citations

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Cited by:

  1. Chen, Ling & He, Lingyun & Liu, Rongyan & Fu, Yating, 2025. "Mapping risk transmission in China's energy industry chain: Insights derived from the industry chain structure," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 971-996.
  2. Lyu, Yongjian & Yi, Heling & Yang, Mo & Zou, Yihan & Li, Ding & Qin, Zhilong, 2025. "Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market," Applied Energy, Elsevier, vol. 382(C).
  3. Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
  4. Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
  5. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
  6. Sun, Yiqun & Ji, Hao & Cai, Xiurong & Li, Jiangchen, 2023. "Joint extreme risk of energy prices-evidence from European energy markets," Finance Research Letters, Elsevier, vol. 56(C).
  7. Mohamed Malek Belhoula & Walid Mensi & Kamel Naoui, 2024. "Impacts of investor's sentiment, uncertainty indexes, and macroeconomic factors on the dynamic efficiency of G7 stock markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(3), pages 2855-2886, June.
  8. Sunil Tiwari & Kamel Si Mohammed, 2025. "Fusion of Fintech and Green Finance Amidst Russo‐Ukrainian Conflict: A Step Toward Sustainable Development," Sustainable Development, John Wiley & Sons, Ltd., vol. 33(5), pages 6936-6953, October.
  9. Tabash, Mosab I. & Sheikh, Umaid A. & Selmi, Refk & Al-Faryan, Mamdouh Abdulaziz Saleh & Hammoudeh, Shawkat, 2025. "The asymmetric effects of European carbon emission trading system on European stock market returns: The moderating role of oil price uncertainty," International Review of Financial Analysis, Elsevier, vol. 104(PA).
  10. Xiang, Youtao & Borjigin, Sumuya, 2023. "Downside and upside risk spillovers between financial industry and real economy based on linear and nonlinear networks," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1337-1374.
  11. Yan, Jingjing & Wang, Kun & Ma, Pan, 2026. "The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems," Journal of Commodity Markets, Elsevier, vol. 41(C).
  12. Wang, Lu & Guan, Li & Ding, Qian & Zhang, Hongwei, 2023. "Asymmetric impact of COVID-19 news on the connectedness of the green energy, dirty energy, and non-ferrous metal markets," Energy Economics, Elsevier, vol. 126(C).
  13. Wang, Zongrun & Zhu, Huan & Mi, Yunlong, 2025. "Multidimensional risk contagions in commodity markets: A multi-layer information networks method," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  14. Li, Xiao-Lin & Li, Haofei & Ge, Xinyu & Si, Deng-Kui, 2023. "Capital market liberalization and systemic risk of non-financial firms: Evidence from Chinese Stock Connect scheme," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  15. Ullah, Aziz & Biao, He & Sarwar, Suleman & Wu, Zhongshu, 2025. "Transmission of oil price risk to airline stock returns: Evidence from China and the United States," Research in Transportation Economics, Elsevier, vol. 110(C).
  16. Feng, Chao & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2025. "The dynamic impact of cryptocurrency implied exchange rates on stock market returns: An empirical study of G7 countries," Research in International Business and Finance, Elsevier, vol. 76(C).
  17. Dai, Zhifeng & Zhang, Xiaotong & Yin, Zhujia, 2023. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 118(C).
  18. Hao, Xinlei & Ma, Yong & Pan, Dongtao, 2024. "Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 73(C).
  19. Lin, Xiaowei & Ding, Zijun & Chen, Aihua & Shi, Huaizhi, 2022. "Internal whistleblowing and stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 84(C).
  20. Yujia Jin & Ailian Zhang & Bai Liu, 2023. "Risk spillover networks in financial markets: Evidence from emerging markets," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(6), pages 3086-3107, September.
  21. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
  22. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
  23. Afshan, Sahar & Yaqoob, Tanzeela & Zaied, Younes Ben & Mishra, Shekhar & Mishra, Sibanjan, 2024. "Oil shocks and currency behavior: A dual approach to digital and traditional currencies," Global Finance Journal, Elsevier, vol. 62(C).
  24. Zaheer Anwer & Noureddine Benlagha & Nur Ain Shahrier & Amer Almajali, 2025. "Dynamic default‐risk spillover of global energy firms: Evidence from five subsectors," Review of Financial Economics, John Wiley & Sons, vol. 43(4), pages 548-577, October.
  25. Zhang, Ditian & Tang, Pan & Tang, Chun & Lai, Xiaobing, 2025. "Interpretable machine learning unveils nonlinear drivers of global energy risk spillovers: A TVP-VAR approach," Economic Modelling, Elsevier, vol. 151(C).
  26. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
  27. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
  28. Luo, Tao & Sun, Huaping & Zhang, Lixia & Bai, Jiancheng, 2024. "Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 597-611.
  29. Roudari, Soheil, 2024. "بررسی رابطه علی پویا میان بازار سهام و سایر بازارهای دارایی: شواهدی جدید از الگوی Rolling- Window Bootstrap Causality [Dynamic Causal Relationships Between the Stock Market and Other Asset Markets: New Evidence from a Rolling Window Bootstrap Caus," MPRA Paper 126972, University Library of Munich, Germany.
  30. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  31. Peng Qin & Manying Bai, 2024. "WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market," PLOS ONE, Public Library of Science, vol. 19(4), pages 1-15, April.
  32. Liu, Mengyue & Wei, Jiajia & Gao, Wang & Jiang, Yuanyuan & Sun, Yadong, 2025. "Multiscale dynamic linkages of China's financial markets under exchange rate shocks: An MJMD approach," International Review of Financial Analysis, Elsevier, vol. 108(PA).
  33. Muhammad Tahir Suleman & Mosab I. Tabash & Umaid A. Sheikh, 2024. "Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1432-1450, April.
  34. Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
  35. Wang, Xueqing & Yuan, Ying & Qu, Yong, 2026. "Directional spillover effect and realized volatility forecasting: An extreme market regime switching model," Finance Research Letters, Elsevier, vol. 87(C).
  36. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  37. 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).
  38. Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Chenarani, Hasan & Mensi, Walid, 2025. "Portfolio Management in the selected Middle East countries: New evidence of Iran-Israel War," MPRA Paper 126960, University Library of Munich, Germany.
  39. Yaling Chen & Qinnan Jiang & Zhifeng Dai, 2026. "Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence From a Copula-CoVaR-MODWT Approach," Evaluation Review, , vol. 50(3), pages 384-422, June.
  40. Chen, Lin & Min, Feng & Liu, Wenhua & Wen, Fenghua, 2022. "The Impact of the Infectious diseases and Commodity on Stock Markets," Finance Research Letters, Elsevier, vol. 47(PB).
  41. 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).
  42. Bhakti Bhushan Mishra & Namita Sahay & Preeti Sharma, 2025. "Investigating the spillover effect of implied volatility on nifty return in different time periods with reference to index options: a multivariate GARCH approach," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 16(6), pages 1993-2004, June.
  43. An, Yunbi & Chen, Zhao & Yiu Liu, Clement Man & Liu, Qingfu & Wang, Chuanjie, 2025. "Compass guided: Northbound capital flow and investment clustering in China," Journal of International Money and Finance, Elsevier, vol. 153(C).
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