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Dynamic quantile connectedness between oil and stock markets: Theimpactof theinterestrate

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  • Qin, Jingrui
  • Cong, Xiaoping
  • Ma, Di
  • Rong, Xueyun

Abstract

This paper explores the heterogeneous and dynamic connectedness between the oil and stock markets of emerging economies under various market conditions by introducing a novel quantile regression TVP-VAR network method. Moreover, a semiparametric model is used to analyze the impact of interest rates on the connectedness. The results show that (1) the total connectedness between the oil and stock markets of emerging economies in bull and bear markets is significantly larger than under normal market conditions. Moreover, the total connectedness is time-varying and crisis-sensitive in all market scenarios. (2) The total connectedness has asymmetric characteristics in bull and bear markets. The net information spillover from oil markets to stock markets of emerging economies shows heterogeneity under different market backgrounds. (3) The impact of interest rates on the total connectedness exhibits a “U-shaped” curve pattern for all market statuses. This study can serve as a reference for regulators aiming to formulate monetary policies for different market environments, especially extreme markets, and for investors aiming to adjust their investment strategies and optimize their investment portfolios according to market conditions.

Suggested Citation

  • Qin, Jingrui & Cong, Xiaoping & Ma, Di & Rong, Xueyun, 2024. "Dynamic quantile connectedness between oil and stock markets: Theimpactof theinterestrate," Energy Economics, Elsevier, vol. 136(C).
    • Handle: RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004493
    DOI: 10.1016/j.eneco.2024.107741
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