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Correlations between oil and stock markets: A wavelet-based approach

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  • Martín-Barragán, Belén
  • Ramos, Sofia B.
  • Veiga, Helena

Abstract

In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks and stock market crashes on correlations between stock and oil markets. We test changes in correlations for different time scales with non-overlapping confidence intervals based on estimated wavelet correlations. Our results indicate that correlation between oil and stock markets tends to be stable in non-shock periods, around zero, but this changes during oil and financial shocks both at higher and lower frequencies. We find evidence of contagion, in particular during the 2008 and 2011 stock market falls. At low frequencies, the number of correlation breakdowns during oil shocks and stock market crashes is higher and they can be interpreted as shifts in market co-movements.

Suggested Citation

  • Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
    • Handle: RePEc:eee:ecmode:v:50:y:2015:i:c:p:212-227
    DOI: 10.1016/j.econmod.2015.06.010
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    More about this item

    Keywords

    Contagion; Correlations; Financial shocks; Interdependence; International financial markets; Oil shocks; Stock market returns; Wavelets;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General

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