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Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach

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Cited by:

  1. 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).
  2. Shuifeng Hong & Mengya Li & Yimin Luo, 2024. "Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 37(1), pages 25-34, March.
  3. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
  4. Kayani, Umar Nawaz & Hassan, M. Kabir & Moussa, Faten & Hossain, Gazi Farid, 2023. "Oil in crisis: What can we learn," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
  5. Li, Xiafei & Liao, Yin & Lu, Xinjie & Ma, Feng, 2022. "An oil futures volatility forecast perspective on the selection of high-frequency jump tests," Energy Economics, Elsevier, vol. 116(C).
  6. Niu, Hongli & Zhang, Shasha, 2024. "Asymmetric effects of commodity and stock market on Chinese green market: Evidence from wavelet-based quantile-on-quantile approach," Renewable Energy, Elsevier, vol. 230(C).
  7. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  8. Binlin Li & Nils Haneklaus & Mohammad Mafizur Rahman, 2024. "Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
  9. Zhu, Pengfei & Lu, Tuantuan & Chen, Shenglan, 2022. "How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  10. Yin, Libo & Cao, Hong & Xin, Yu, 2024. "Impact of crude oil price innovations on global stock market volatility: Evidence across time and space," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  11. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "Commodity connectedness of the petrochemical industrial chain: A novel perspective of “good” and “bad” volatility surprises," Finance Research Letters, Elsevier, vol. 67(PB).
  12. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
  13. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Dankwah, Boakye & Lee, Chi-Chuan, 2024. "Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  14. Mensi, Walid & Ahmadian-Yazdi, Farzaneh & Al-Kharusi, Sami & Roudari, Soheil & Kang, Sang Hoon, 2024. "Extreme Connectedness Across Chinese Stock and Commodity Futures Markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
  15. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
  16. Yang, Jie & Feng, Yun & Yang, Hao, 2025. "Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  17. Liu, Zhichao & Xu, Xiulian & Cheng, Ya & Xie, Xuan, 2023. "Geopolitical risk of oil export and import countries and oil futures volatility: Evidence from dynamic model average methods," Finance Research Letters, Elsevier, vol. 54(C).
  18. Li, Dakai, 2024. "Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 115-122.
  19. Hossain, Mohammad Razib & Ben Jabeur, Sami & Si Mohammed, Kamel & Shahzad, Umer, 2024. "Time-varying relatedness and structural changes among green growth, clean energy innovation, and carbon market amid exogenous shocks: A quantile VAR approach," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
  20. Shouhong Xie & Hanbing Li, 2022. "Research on the Spatial Agglomeration of Commodity Trading Markets and Its Influencing Factors in China," Sustainability, MDPI, vol. 14(15), pages 1-16, August.
  21. Elham Kamal & Elie Bouri, 2025. "Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-33, December.
  22. Cheng, Tingting & Liu, Fei & Liu, Junli & Yao, Wenying, 2024. "Tail connectedness: Measuring the volatility connectedness network of equity markets during crises," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  23. Zhu, Yanli & Yang, Xian & Zhang, Chuanhai & Liu, Sihan & Li, Jiayi, 2024. "Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty," Journal of Commodity Markets, Elsevier, vol. 36(C).
  24. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 702-715.
  25. Kamal, Elham & Bouri, Elie, 2023. "Dependence structure among rare earth and financial markets: A multiscale-vine copula approach," Resources Policy, Elsevier, vol. 83(C).
  26. Feng Ma & Xinjie Lu & Bo Zhu, 2025. "Uncertainty and fluctuation in crude oil price: evidence from machine learning models," Annals of Operations Research, Springer, vol. 345(2), pages 725-755, February.
  27. Marina Yu. Malkina, 2024. "Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(2), pages 452-475.
  28. Hanif, Waqas & Hadhri, Sinda & El Khoury, Rim, 2024. "Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers," Journal of Commodity Markets, Elsevier, vol. 34(C).
  29. 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).
  30. Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.
  31. Ma, Feng & Guo, Yangli & Chevallier, Julien & Huang, Dengshi, 2022. "Macroeconomic attention, economic policy uncertainty, and stock volatility predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).
  32. Zeng, Qing & Cao, Jiawei & Guo, Yangli & Dong, Dayong, 2023. "The macroeconomic attention index: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
  33. He, Zhifang & Sun, Hao & Chen, Jiaqi & Yang, Xin & Yin, Zhujia, 2023. "Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  34. Abdou, Hussein A. & Elamer, Ahmed A. & Abedin, Mohammad Zoynul & Ibrahim, Bassam A., 2024. "The impact of oil and global markets on Saudi stock market predictability: A machine learning approach," Energy Economics, Elsevier, vol. 132(C).
  35. Bonga-Bonga, Lumengo & Mpoha, Salifya, 2024. "Spillover effects from China and the United States to Key Regional Emerging Markets: A dynamic analysis," International Review of Financial Analysis, Elsevier, vol. 91(C).
  36. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
  37. Lu, Fei & Ma, Feng & Bouri, Elie & Liao, Yin, 2024. "Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 94(C).
  38. Luo, Changqing & Qu, Yi & Su, Yaya & Dong, Liang, 2024. "Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  39. Jin, Xiu & Liu, Yueli & Yu, Jinming & Huang, Weiqiang, 2023. "COVID-19 and extreme risk spillovers between oil and BRICS stock markets: A multiscale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  40. Zhu, Bangzhu & Tian, Chao & Wang, Ping, 2024. "Exploring the relationship between Chinese crude oil futures market efficiency and market micro characteristics," Energy Economics, Elsevier, vol. 134(C).
  41. Gong, Xu & Jin, Yujing & Liu, Tangyong, 2023. "Analyzing pure contagion between crude oil and agricultural futures markets," Energy, Elsevier, vol. 269(C).
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