IDEAS home Printed from https://ideas.repec.org/r/eee/energy/v166y2019icp577-586.html
   My bibliography  Save this item

The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2024. "Asymmetric volatility spillover between crude oil and other asset markets," Energy Economics, Elsevier, vol. 130(C).
  2. Damilola ABOLUWODI & Bomi NOMLALA & Paul-Francois MUZINDUTSI, 2022. "The COVID-19 Crisis and Interaction between the JSE, Real Estate, Energy, Commodity and Cryptocurrency Markets," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(1), pages 55-76.
  3. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
  4. Wu, Bi-Bo, 2021. "The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?," Journal of Commodity Markets, Elsevier, vol. 23(C).
  5. Bin Mo & He Nie, 2022. "The Impact of RCEP on Dual Circulation and Greater Bay Area — From the Perspective of China’s Stock Market Conditions," Economic Analysis Letters, Anser Press, vol. 1(2), pages 15-22, December.
  6. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  7. Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021. "Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies," Resources Policy, Elsevier, vol. 71(C).
  8. Zhang, Hao & Cai, Guixin & Yang, Dongxiao, 2020. "The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective," Energy, Elsevier, vol. 196(C).
  9. Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  10. Muhammad Arif & Zhang Chenghu & Judit Olah & Khurram Shehzad & Mahmood Ahmad, 2022. "Specifying the Domineering Role of Governance in the Long Term Environmental Excellence: A Case Study of Pakistan," SAGE Open, , vol. 12(3), pages 21582440221, September.
  11. Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
  12. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
  13. Bin Mo & Juan Meng & Guannan Wang, 2023. "Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management," Energies, MDPI, vol. 16(5), pages 1-17, February.
  14. Chen, Yanan & Qi, Haozhi, 2024. "COVID-19 pandemic-related news and Chinese commodities futures: Time-frequency connectedness and causality-in-quantiles approaches," Energy, Elsevier, vol. 286(C).
  15. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
  16. Gaoxiu Qiao & Yangli Cao & Feng Ma & Weiping Li, 2023. "Liquidity and realized covariance forecasting: a hybrid method with model uncertainty," Empirical Economics, Springer, vol. 64(1), pages 437-463, January.
  17. Faisal Awad Aljuboori & Jang Hyun Lee & Khaled A. Elraies & Karl D. Stephen, 2019. "Gravity Drainage Mechanism in Naturally Fractured Carbonate Reservoirs; Review and Application," Energies, MDPI, vol. 12(19), pages 1-26, September.
  18. Mo, Bin & Meng, Juan & Zheng, Liping, 2022. "Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets," Resources Policy, Elsevier, vol. 77(C).
  19. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
  20. Ding, Shusheng & Cui, Tianxiang & Zheng, Dandan & Du, Min, 2021. "The effects of commodity financialization on commodity market volatility," Resources Policy, Elsevier, vol. 73(C).
  21. Emre Cevik & Emrah I Cevik & Sel Dibooglu & Raif Cergibozan & Mehmet Fatih Bugan & Mehmet Akif Destek, 2024. "Connectedness and risk spillovers between crude oil and clean energy stock markets," Energy & Environment, , vol. 35(7), pages 3319-3339, November.
  22. Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
  23. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
  24. Jiang, Wei & Chen, Yunfei, 2024. "Impact of Russia-Ukraine conflict on the time-frequency and quantile connectedness between energy, metal and agricultural markets," Resources Policy, Elsevier, vol. 88(C).
  25. Chen, Hao & Xu, Chao & Peng, Yun, 2022. "Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China," Resources Policy, Elsevier, vol. 78(C).
  26. Wang, Hu & Li, Shouwei, 2021. "Asymmetric volatility spillovers between crude oil and China's financial markets," Energy, Elsevier, vol. 233(C).
  27. Cai, Guixin & Zhang, Hao & Chen, Ziyue, 2019. "Comovement between commodity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1247-1258.
  28. Wen, Fenghua & Cao, Jiahui & Liu, Zhen & Wang, Xiong, 2021. "Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
  29. Yang, Dong-Xiao & Wu, Bi-Bo & Tong, Jing-Yang, 2021. "Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods," Resources Policy, Elsevier, vol. 74(C).
  30. Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
  31. Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
  32. Jiang, Yonghong & Feng, Qidi & Mo, Bin & Nie, He, 2020. "Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  33. Rasheed O. Alao & Abdulkareem Alhassan & Saheed Alao & Ifedolapo O. Olanipekun & Godwin O. Olasehinde-Williams & Ojonugwa Usman, 2023. "Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-14, December.
  34. Li, Zhenghui & Mo, Bin & Nie, He, 2023. "Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 46-57.
  35. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
  36. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
  37. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  38. Mo, Bin & Chen, Cuiqiong & Nie, He & Jiang, Yonghong, 2019. "Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests," Energy, Elsevier, vol. 178(C), pages 234-251.
  39. Zhang, Tianding & Zeng, Song, 2023. "Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market," Resources Policy, Elsevier, vol. 80(C).
  40. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
  41. Gao, Yang & Zhou, Yueyi & Zhao, Longfeng, 2024. "Quantile interdependence and network connectedness between China's green financial and energy markets," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1148-1177.
  42. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  43. Jiang, Yonghong & Wang, Jieru & Lie, Jiayi & Mo, Bin, 2021. "Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets," Energy, Elsevier, vol. 233(C).
  44. Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
  45. Bambang Susantono & Gazi Salah Uddin & Donghyun Park & Shu Tian, 2022. "On Hedging Properties of Infrastructure Assets during the Pandemic: What We Learn from Global and Emerging Markets?," Sustainability, MDPI, vol. 14(5), pages 1-14, March.
  46. Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023. "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  47. Mo, Bin & Zeng, Haiyu & Meng, Juan & Ding, Shaokai, 2024. "The connectedness between uncertainty and exchange rates of oil import countries: new evidence from time and frequency perspective," Resources Policy, Elsevier, vol. 88(C).
  48. Yonghong Jiang & Jinqi Mu & He Nie & Lanxin Wu, 2022. "Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3386-3404, July.
  49. Christian Bucio-Pacheco & Miriam Sosa-Castro & Francisco Reyes-Zarate, 2023. "Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 20(2), pages 69-93, Julio-Dic.
  50. Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  51. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
  52. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
  53. Mo, Bin & Nie, He & Zhao, Rongjie, 2024. "Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods," Energy, Elsevier, vol. 288(C).
  54. Rehman, Mobeen Ur & Owusu Junior, Peterson & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Time-varying risk analysis for commodity futures," Resources Policy, Elsevier, vol. 78(C).
  55. Guo, Yaoqi & Shi, Fengyuan & Lin, Boqiang & Zhang, Hongwei, 2023. "The impact of oil shocks from different sources on China's clean energy metal stocks: An analysis of spillover effects based on a time-varying perspective," Resources Policy, Elsevier, vol. 81(C).
  56. Khurram Shehzad & Xiaoxing Liu & Aviral Tiwari & Muhammad Arif & Abdul Rauf, 2021. "Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX‐DCC‐MEGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 814-833, January.
  57. Zhu, Huiming & Chen, Weiyan & Hau, Liya & Chen, Qitong, 2021. "Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  58. Chen, Hao & Xu, Chao, 2022. "The impact of cryptocurrencies on China's carbon price variation during COVID-19: A quantile perspective," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.