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Measuring contagion between energy market and stock market during financial crisis: A copula approach

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Cited by:

  1. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
  2. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  3. Gupta, Kartick, 2017. "Do economic and societal factors influence the financial performance of alternative energy firms?," Energy Economics, Elsevier, vol. 65(C), pages 172-182.
  4. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
  5. Ding, Zhihua & Liu, Zhenhua & Zhang, Yuejun & Long, Ruyin, 2017. "The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment," Applied Energy, Elsevier, vol. 187(C), pages 27-36.
  6. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  7. Jarrett, Uchechukwu & Mohaddes, Kamiar & Mohtadi, Hamid, 2019. "Oil price volatility, financial institutions and economic growth," Energy Policy, Elsevier, vol. 126(C), pages 131-144.
  8. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
  9. Liu, Bing-Yue & Ji, Qiang & Fan, Ying, 2017. "Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model," Energy Economics, Elsevier, vol. 68(C), pages 53-65.
  10. Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
  11. Hu, Zinan & Borjigin, Sumuya, 2024. "The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  12. Wang, Ningli & You, Wanhai, 2023. "New insights into the role of global factors in BRICS stock markets: A quantile cointegration approach," Economic Systems, Elsevier, vol. 47(2).
  13. Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers 46, Red Investigadores de Economía.
  14. Gupta, Kartick, 2016. "Oil price shocks, competition, and oil & gas stock returns — Global evidence," Energy Economics, Elsevier, vol. 57(C), pages 140-153.
  15. Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022. "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, vol. 196(C), pages 535-546.
  16. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
  17. Arreola Hernandez, Jose, 2014. "Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization," Energy Economics, Elsevier, vol. 45(C), pages 528-536.
  18. Ayadi, Ahmed & Gana, Marjène & Goutte, Stéphane & Guesmi, Khaled, 2021. "Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 376-423.
  19. Zhao, Zhao & Wen, Huwei & Li, Ke, 2021. "Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China," Economic Modelling, Elsevier, vol. 94(C), pages 780-788.
  20. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
  21. Berger, Theo & Uddin, Gazi Salah, 2016. "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, vol. 56(C), pages 374-383.
  22. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
  23. Heni Boubaker & Nadia Sghaier, 2013. "Instability and time," Working Papers 2013-23, Department of Research, Ipag Business School.
  24. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
  25. Hasnain Iftikhar & Aimel Zafar & Josue E. Turpo-Chaparro & Paulo Canas Rodrigues & Javier Linkolk López-Gonzales, 2023. "Forecasting Day-Ahead Brent Crude Oil Prices Using Hybrid Combinations of Time Series Models," Mathematics, MDPI, vol. 11(16), pages 1-19, August.
  26. Arturo Lorenzo Valdés & Leticia Armenta Fraire & Rocío Durán Vázquez, 2016. "A copula-TGARCH approach of conditional dependence between oil price and stock market index: the case of Mexico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 31(1), pages 47-63.
  27. Bing‐Yue Liu & Qiang Ji & Duc Khuong Nguyen & Ying Fan, 2021. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2612-2636, April.
  28. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  29. Phan, Dinh Hoang Bach & Tran, Vuong Thao & Nguyen, Dat Thanh, 2019. "Crude oil price uncertainty and corporate investment: New global evidence," Energy Economics, Elsevier, vol. 77(C), pages 54-65.
  30. Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei, 2016. "How is China's coke price related with the world oil price? The role of extreme movements," Economic Modelling, Elsevier, vol. 58(C), pages 22-33.
  31. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2018. "Does oil product pricing reform increase returns and uncertainty in the Chinese stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 23-30.
  32. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
  33. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
  34. Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
  35. Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022. "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Annals of Operations Research, Springer, vol. 313(1), pages 105-143, June.
  36. Haiying Wang & Ying Yuan & Tianyang Wang, 2021. "The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1655-1673, October.
  37. Iwona Gorzeń-Mitka & Monika Wieczorek-Kosmala, 2023. "Mapping the Energy Sector from a Risk Management Research Perspective: A Bibliometric and Scientific Approach," Energies, MDPI, vol. 16(4), pages 1-32, February.
  38. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2021. "Exploring shock and volatility transmission between oil and Chinese industrial raw materials," Resources Policy, Elsevier, vol. 70(C).
  39. Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
  40. Mensi, Walid & Rehman, Mobeen Ur & Hammoudeh, Shawkat & Vo, Xuan Vinh, 2021. "Spillovers between natural gas, gasoline, oil, and stock markets: Evidence from MENA countries," Resources Policy, Elsevier, vol. 71(C).
  41. Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
  42. Sheng Fang & Paul Egan, 2021. "Tail dependence between oil prices and China's A‐shares: Evidence from firm‐level data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1469-1487, January.
  43. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  44. Laifu Song & Hao Ying & Wei Wang & Ning Fan & Xueming Du, 2022. "Reliability Modelling of Pipeline Failure under the Impact of Submarine Slides-Copula Method," Mathematics, MDPI, vol. 10(9), pages 1-25, April.
  45. Hussain, Saiful Izzuan & Nur-Firyal, R. & Ruza, Nadiah, 2022. "Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases," Journal of Commodity Markets, Elsevier, vol. 28(C).
  46. Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
  47. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
  48. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
  49. Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
  50. Monia Antar Limam, 2017. "Autosimilarty, Long Memory and Chaos: Evidence from the Tunisian Market," Business and Management Studies, Redfame publishing, vol. 3(2), pages 61-77, June.
  51. Apergis, Nicholas & Gozgor, Giray & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Dependence structure in the Australian electricity markets: New evidence from regular vine copulae," Energy Economics, Elsevier, vol. 90(C).
  52. Jiang, Zhuhua & Yoon, Seong-Min, 2020. "Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis," Energy Economics, Elsevier, vol. 90(C).
  53. Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018. "Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach," Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
  54. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
  55. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
  56. Li, Huajiao & An, Haizhong & Liu, Xueyong & Gao, Xiangyun & Fang, Wei & An, Feng, 2016. "Price fluctuation in the energy stock market based on fluctuation and co-fluctuation matrix transmission networks," Energy, Elsevier, vol. 117(P1), pages 73-83.
  57. Li, Jie & Li, Ping, 2021. "Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks," Energy Economics, Elsevier, vol. 93(C).
  58. Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
  59. Wang, Ze & Gao, Xiangyun & An, Haizhong & Tang, Renwu & Sun, Qingru, 2020. "Identifying influential energy stocks based on spillover network," International Review of Financial Analysis, Elsevier, vol. 68(C).
  60. Jiasha Fu & Hui Qiao, 2022. "The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 341-376, December.
  61. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
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  64. Carmen‐Pilar Marti‐Ballester, 2019. "The role of mutual funds in the sustainable energy sector," Business Strategy and the Environment, Wiley Blackwell, vol. 28(6), pages 1107-1120, September.
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