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Linkages between global crude oil market volatility and financial market by complexity synchronization

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  • Yani Xing

    (Beijing Jiaotong University)

  • Jun Wang

    (Beijing Jiaotong University)

Abstract

In this paper, we investigate the linkages between global crude oil market volatilities and financial markets and the degree of synchrony of crude oil markets and stock markets. A nonlinear cross-analysis of bivariate data method called CRP is applied to study the probability distribution of occurrence of similar states and the time span of occurrence of synchronization dynamics for crude oil return series and stock return series. Further, a new composite multiscale complexity invariance distance is introduced to measure the similarity of complexity between crude oil markets and stock markets. The results of this study show that there is a synchronization in the crude oil markets and stock markets, and those two systems have similar complexity from composite multiscale perspective.

Suggested Citation

  • Yani Xing & Jun Wang, 2020. "Linkages between global crude oil market volatility and financial market by complexity synchronization," Empirical Economics, Springer, vol. 59(5), pages 2405-2421, November.
    • Handle: RePEc:spr:empeco:v:59:y:2020:i:5:d:10.1007_s00181-019-01762-w
    DOI: 10.1007/s00181-019-01762-w
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    References listed on IDEAS

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    Cited by:

    1. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).

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