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Oil prices and financial stress: A volatility spillover analysis

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  1. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  2. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
  3. Claudiu Albulescu, 2020. "Coronavirus and oil price crash," Papers 2003.06184, arXiv.org, revised Mar 2020.
  4. Sheng, Xin & Gupta, Rangan & Ji, Qiang, 2020. "The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries," Energy Economics, Elsevier, vol. 91(C).
  5. Antonio J. Garz n & Luis . Hierro, 2018. "Fracking, Wars and Stock Market Crashes: The Price of Oil During the Great Recession," International Journal of Energy Economics and Policy, Econjournals, vol. 8(2), pages 20-30.
  6. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
  7. Gupta, Rangan & Kanda, Patrick & Tiwari, Aviral Kumar & Wohar, Mark E., 2019. "Time-varying predictability of oil market movements over a century of data: The role of US financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  8. Gaoke Liao & Zhenghui Li & Ziqing Du & Yue Liu, 2019. "The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks," Energies, MDPI, vol. 12(11), pages 1-17, June.
  9. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
  10. Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment," Energies, MDPI, vol. 14(23), pages 1-18, December.
  11. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
  12. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
  13. Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
  14. Flori, Andrea & Pammolli, Fabio & Spelta, Alessandro, 2021. "Commodity prices co-movements and financial stability: A multidimensional visibility nexus with climate conditions," Journal of Financial Stability, Elsevier, vol. 54(C).
  15. Das, Debojyoti & Kannadhasan, M. & Bhattacharyya, Malay, 2019. "Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 1-19.
  16. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
  17. Zouheir Ahmed Mighri & Majid Ibrahim Alsaggaf, 2019. "Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress," International Journal of Energy Economics and Policy, Econjournals, vol. 9(3), pages 87-105.
  18. Yuan, Ying & Du, Xinyu, 2023. "Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
  19. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
  20. Ahmed H. Elsayed & Gareth Downing & Chi Keung Marco Lau & Xin Sheng, 2024. "Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1804-1819, April.
  21. Atanu Ghoshray & Madhavi Pundit, 2021. "Economic growth in China and its impact on international commodity prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2776-2789, April.
  22. Hu, Haiqing & Chen, Di & Sui, Bo & Zhang, Lang & Wang, Yinyin, 2020. "Price volatility spillovers between supply chain and innovation of financial pledges in China," Economic Modelling, Elsevier, vol. 89(C), pages 397-413.
  23. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
  24. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2023. "Asymmetric effect of financial stress on China’s precious metals market: Evidence from a quantile-on-quantile regression," Research in International Business and Finance, Elsevier, vol. 64(C).
  25. Zhang, Hongwei & Wang, Peijin, 2021. "Does Bitcoin or gold react to financial stress alike? Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 629-648.
  26. Magdalena Ziolo & Iwona Bak & Anna Spoz & Beata Zofia Filipiak & Jaroslaw Kozuba & Piotr Niedzielski, 2020. "A Sustainable Approach for Financial and Energy Markets: The Perspective of OECD European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 462-487.
  27. Wang, Hu & Li, Shouwei, 2021. "Asymmetric volatility spillovers between crude oil and China's financial markets," Energy, Elsevier, vol. 233(C).
  28. Matteo Foglia & Eliana Angelini, 2020. "Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era," Sustainability, MDPI, vol. 12(23), pages 1-22, November.
  29. Dagher, Leila & Hasanov, Fakhri J., 2023. "Oil market shocks and financial instability in Asian countries," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 182-195.
  30. Onur POLAT, 2018. "The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
  31. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
  32. Zhao, Zhen-yu & Zhu, Jiang & Xia, Bo, 2016. "Multi-fractal fluctuation features of thermal power coal price in China," Energy, Elsevier, vol. 117(P1), pages 10-18.
  33. Mishra, Shekhar & Mishra, Sibanjan, 2021. "Are Indian sectoral indices oil shock prone? An empirical evaluation," Resources Policy, Elsevier, vol. 70(C).
  34. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
  35. Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
  36. Ziadat, Salem Adel & McMillan, David G. & Herbst, Patrick, 2022. "Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations," Resources Policy, Elsevier, vol. 75(C).
  37. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
  38. Zhang, Yali & Wang, Jun, 2019. "Linkage influence of energy market on financial market by multiscale complexity synchronization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 254-266.
  39. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
  40. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
  41. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
  42. Liu, Xueyong & An, Haizhong & Huang, Shupei & Wen, Shaobo, 2017. "The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 374-383.
  43. Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, vol. 6(2), pages 1-21, May.
  44. Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  45. Wang, Lu & Ma, Feng & Niu, Tianjiao & He, Chengting, 2020. "Crude oil and BRICS stock markets under extreme shocks: New evidence," Economic Modelling, Elsevier, vol. 86(C), pages 54-68.
  46. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
  47. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
  48. Yıldırım, Durmuş Çağrı & Esen, Ömer & Ertuğrul, Hasan Murat, 2022. "Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model," Resources Policy, Elsevier, vol. 79(C).
  49. Mohamed Albaity & Hasan Mustafa, 2018. "International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 69-81.
  50. Shahzad, Umer & Mohammed, Kamel Si & Tiwari, Sunil & Nakonieczny, Joanna & Nesterowicz, Renata, 2023. "Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective," Resources Policy, Elsevier, vol. 80(C).
  51. Christopher Thiem, 2018. "Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3735-3751, July.
  52. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
  53. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
  54. Huang, Xiaoyong & Yu, Cong & Chen, Yunping & Jia, Fei & Xu, Xiangyun, 2022. "Rigid payment breaking, default spread and yields of Chinese treasury bonds," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  55. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
  56. Zhang, Weiping & Zhuang, Xintian & Wu, Dongmei, 2020. "Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis," Finance Research Letters, Elsevier, vol. 34(C).
  57. Taicir Mezghani & Mouna Boujelbène Abbes, 2023. "Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 505-530, September.
  58. Angela Ifeanyi Ukemenam & Babatunde Opadeji & Tuwe Soro Garbobiya & Augustine Ujunwa, 2018. "Macroeconomic Effects of Exogenous Oil Price Shock in Nigeria: Persistent or Transitory," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(11), pages 1-28, November.
  59. An, Pengli & Li, Huajiao & Zhou, Jinsheng & Li, Yang & Sun, Bowen & Guo, Sui & Qi, Yajie, 2020. "Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method," Energy, Elsevier, vol. 191(C).
  60. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
  61. Restrepo, Natalia & Uribe, Jorge M. & Manotas, Diego, 2018. "Financial risk network architecture of energy firms," Applied Energy, Elsevier, vol. 215(C), pages 630-642.
  62. Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
  63. Nazlioglu, Saban & Gormus, N. Alper & Soytas, Uğur, 2016. "Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis," Energy Economics, Elsevier, vol. 60(C), pages 168-175.
  64. Angelopoulos, Jason & Sahoo, Satya & Visvikis, Ilias D., 2020. "Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
  65. Qin, Xiao, 2020. "Oil shocks and financial systemic stress: International evidence," Energy Economics, Elsevier, vol. 92(C).
  66. Das, Debojyoti & Kumar, Surya Bhushan & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Hasim, Haslifah M., 2018. "On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach," Finance Research Letters, Elsevier, vol. 27(C), pages 169-174.
  67. Nenubari Ikue John & Emeka Nkoro & Jeremiah Anietie, 2021. "Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria," Bussecon Review of Social Sciences (2687-2285), Bussecon International Academy, vol. 3(3), pages 31-44, July.
  68. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
  69. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
  70. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
  71. Zhang, Dayong & Cao, Hong & Dickinson, David G. & Kutan, Ali M., 2016. "Free cash flows and overinvestment: Further evidence from Chinese energy firms," Energy Economics, Elsevier, vol. 58(C), pages 116-124.
  72. Alper Gormus & Ugur Soytas, 2023. "Financial Sector Troubles and Energy Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 357-363, March.
  73. Beata Zofia Filipiak & Dorota Wyszkowska, 2022. "Determinants of Reducing Greenhouse Gas Emissions in European Union Countries," Energies, MDPI, vol. 15(24), pages 1-24, December.
  74. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  75. Magdalena Ziolo & Iwona Bak & Anna Spoz & Beata Zofia Filipiak & Jaroslaw Kozuba & Piotr Niedzielski, 2020. "Financial and Energy Markets - A Sustainable Approach. Perspective of European Countries Belonging to the OECD," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 491-511.
  76. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
  77. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
  78. Liu, Min & Lee, Chien-Chiang, 2021. "Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting," Energy Economics, Elsevier, vol. 103(C).
  79. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.
  80. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
  81. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
  82. Wang, Minggang & Chen, Ying & Tian, Lixin & Jiang, Shumin & Tian, Zihao & Du, Ruijin, 2016. "Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective," Applied Energy, Elsevier, vol. 175(C), pages 109-127.
  83. Liu, Renren & Chen, Jianzhong & Wen, Fenghua, 2021. "The nonlinear effect of oil price shocks on financial stress: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  84. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
  85. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
  86. Feng, Sida & Huang, Shupei & Qi, Yabin & Liu, Xueyong & Sun, Qingru & Wen, Shaobo, 2018. "Network features of sector indexes spillover effects in China: A multi-scale view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 461-473.
  87. Hung, Ngo Thai & Vo, Xuan Vinh, 2021. "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 76(C).
  88. Chang, Bisharat Hussain & Sharif, Arshian & Aman, Ameenullah & Suki, Norazah Mohd & Salman, Asma & Khan, Syed Abdul Rehman, 2020. "The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach," Resources Policy, Elsevier, vol. 65(C).
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