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The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

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Cited by:

  1. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
  2. Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
  3. Esmaeili, Parisa & Rafei, Meysam & Salari, Mahmoud & Balsalobre-Lorente, Daniel, 2024. "From oil surges to renewable shifts: Unveiling the dynamic impact of supply and demand shocks in global crude oil market on U.S. clean energy trends," Energy Policy, Elsevier, vol. 192(C).
  4. Elsayed, Ahmed H. & Khalfaoui, Rabeh & Nasreen, Samia & Gabauer, David, 2024. "The impact of oil shocks on green, clean, and socially responsible markets," Energy Economics, Elsevier, vol. 136(C).
  5. Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2018. "Is Wine A Safe-Haven? Evidence From A Nonparametric Causality-In-Quantiles Test," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 95-114, December.
  6. Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
  7. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
  8. 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).
  9. Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
  10. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2018. "Does inflation cause gold market price changes? evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance," Applied Economics, Taylor & Francis Journals, vol. 50(17), pages 1891-1909, April.
  11. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
  12. Seyi Saint Akadiri & Tomiwa Sunday Adebayo & Obioma Chinenyenwa Asuzu & Ijeoma Christina Onuogu & Izuchukwu Oji-Okoro, 2023. "Testing the role of economic complexity on the ecological footprint in China: a nonparametric causality-in-quantiles approach," Energy & Environment, , vol. 34(7), pages 2290-2316, November.
  13. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
  14. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
  15. Zynobia Barson & Kwame Simpe Ofori & Peterson Owusu Junior & Kwabena G. Boakye & George Oppong Appiagyei Ampong, 2024. "Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(3), pages 306-335, September.
  16. Yuan, Di & Li, Sufang & Li, Rong & Zhang, Feipeng, 2022. "Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis," Energy Economics, Elsevier, vol. 110(C).
  17. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
  18. Arshian Sharif & Subhan Ullah & Muhammad Shahbaz & Mantu Kumar Mahalik, 2021. "Sustainable tourism development and globalization: Recent insights from the United States," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(5), pages 957-973, September.
  19. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”," IREA Working Papers 201806, University of Barcelona, Research Institute of Applied Economics, revised Mar 2018.
  20. Papadamou, Stephanos & Kyriazis, Nikolaos A. & Tzeremes, Panayiotis G., 2021. "Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  21. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
  22. Yi‐Ting Peng & Tsangyao Chang & Omid Ranjbar, 2022. "Analyzing the degree of persistence of economic policy uncertainty using linear and non‐linear fourier quantile unit root tests," Manchester School, University of Manchester, vol. 90(4), pages 453-471, July.
  23. Khan, Nasir & Saleem, Asima & Ozkan, Oktay, 2023. "Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach," Resources Policy, Elsevier, vol. 81(C).
  24. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
  25. Emmanuel Anoruo, 2019. "Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 513-534.
  26. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
  27. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
  28. Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
  29. Mensi, Walid & Rehman, Mobeen Ur & Hammoudeh, Shawkat & Vo, Xuan Vinh & Kim, Won Joong, 2023. "How macroeconomic factors drive the linkages between inflation and oil markets in global economies? A multiscale analysis," International Economics, Elsevier, vol. 173(C), pages 212-232.
  30. Zhenghui Li & Zhiming Ao & Bin Mo, 2021. "Revisiting the Valuable Roles of Global Financial Assets for International Stock Markets: Quantile Coherence and Causality-in-Quantiles Approaches," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
  31. Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019. "Predicting stock market movements with a time-varying consumption-aggregate wealth ratio," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 458-467.
  32. Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers 201638, University of Pretoria, Department of Economics.
  33. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
  34. Hachmi Ben Ameur & Eric Le Fur & Julien Pillot, 2023. "The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 589-608, August.
  35. Muhammad Umar & Abraham Ayobamiji Awosusi & Oluwatayomi Rereloluwa Adegboye & Opeoluwa Seun Ojekemi, 2024. "Geothermal energy and carbon emissions nexus in leading geothermal-consuming nations: Evidence from nonparametric analysis," Energy & Environment, , vol. 35(5), pages 2726-2752, August.
  36. Zhao, Xin & Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Vasa, László & Shahzad, Umer, 2023. "Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 112-131.
  37. Oscar Claveria, 2020. "“Measuring and assessing economic uncertainty”," AQR Working Papers 2012003, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2020.
  38. Huabin Bian & Renhai Hua & Qingfu Liu & Ping Zhang, 2022. "Petroleum market volatility tracker in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2022-2040, November.
  39. Troster, Victor & Bouri, Elie & Roubaud, David, 2019. "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, vol. 62(C), pages 482-495.
  40. Farid, Saqib & Zafar, Quratulain, 2024. "Impact of economic policy uncertainty on global carbon emissions," Research in Economics, Elsevier, vol. 78(2).
  41. Elie Bouri & Riza Demirer & Rangan Gupta & Hardik A. Marfatia, 2019. "Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note," Defence and Peace Economics, Taylor & Francis Journals, vol. 30(3), pages 367-379, April.
  42. Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019. "The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.
  43. Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
  44. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  45. Sami Ullah & Rundong Luo & Tomiwa Sunday Adebayo & Mustafa Tevfik Kartal, 2023. "Dynamics between environmental taxes and ecological sustainability: Evidence from top‐seven green economies by novel quantile approaches," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 825-839, April.
  46. Koranteng, Barbara & You, Kefei, 2024. "Fintech and financial stability: Evidence from spatial analysis for 25 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
  47. Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
  48. Zou, Fei & Huang, Lingyu & Ghaemi Asl, Mahdi & Delnavaz, Mohammad & Tiwari, Sunil, 2023. "Natural resources and green economic recovery in responsible investments: Role of ESG in context of Islamic sustainable investments," Resources Policy, Elsevier, vol. 86(PA).
  49. Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
  50. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2017. "On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test," International Economics and Economic Policy, Springer, vol. 14(4), pages 691-700, October.
  51. Mokni, Khaled & Bouteska, Ahmed & Nakhli, Mohamed Sahbi, 2022. "Investor sentiment and Bitcoin relationship: A quantile-based analysis," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  52. Bakhsh, Satar & Zhang, Wei & Ali, Kishwar & Anas, Muhammad, 2024. "Transition towards environmental sustainability through financial inclusion, and digitalization in China: Evidence from novel quantile-on-quantile regression and wavelet coherence approach," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
  53. Bahloul, Walid & Balcilar, Mehmet & Cunado, Juncal & Gupta, Rangan, 2018. "The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test," Journal of Multinational Financial Management, Elsevier, vol. 45(C), pages 52-71.
  54. Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "Exchange rate returns and volatility: the role of time-varying rare disaster risks," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 190-203, January.
  55. Johnson A. Oliyide & Abiodun M. Adetokunbo & Ismail O. Fasanya, 2022. "How COVID-19 Influences Indian Sectoral Stocks," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 3(2), pages 1-5.
  56. Nima Nonejad, 2024. "Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark," Empirical Economics, Springer, vol. 67(4), pages 1497-1539, October.
  57. Luu Duc Huynh, Toan, 2020. "The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR," Resources Policy, Elsevier, vol. 66(C).
  58. Dong, Kangyin & Ren, Xiaohang & Zhao, Jun, 2021. "How does low-carbon energy transition alleviate energy poverty in China? A nonparametric panel causality analysis," Energy Economics, Elsevier, vol. 103(C).
  59. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
  60. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
  61. Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Safwan Mohd Nor, 2020. "Geopolitical Risk and Tourism Stocks of Emerging Economies," Sustainability, MDPI, vol. 12(21), pages 1-21, November.
  62. Gao, Wang & Zhang, Hongwei, 2024. "The role of education attention on high-tech markets in an emerging economy: Evidence from QQR and NCQ techniques," Technological Forecasting and Social Change, Elsevier, vol. 207(C).
  63. Xue, Chaokai & Shahbaz, Muhammad & Ahmed, Zahoor & Ahmad, Mahmood & Sinha, Avik, 2022. "Clean energy consumption, economic growth, and environmental sustainability: What is the role of economic policy uncertainty?," Renewable Energy, Elsevier, vol. 184(C), pages 899-907.
  64. Kyei, Collins Baffour & Cantah, William Godfred & Junior Owusu, Peterson, 2023. "Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting," Resources Policy, Elsevier, vol. 86(PA).
  65. Nong, Huifu & Liu, Hongxiao, 2023. "Measuring the frequency and quantile connectedness between policy categories and global oil price," Resources Policy, Elsevier, vol. 83(C).
  66. 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).
  67. Li, Xiao, 2021. "Does Chinese investor sentiment predict Asia-pacific stock markets? Evidence from a nonparametric causality-in-quantiles test," Finance Research Letters, Elsevier, vol. 38(C).
  68. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
  69. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
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  71. Wang, Jiqian & He, Xiaofeng & Ma, Feng & Li, Pan, 2022. "Uncertainty and oil volatility: Evidence from shrinkage method," Resources Policy, Elsevier, vol. 75(C).
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  78. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
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  113. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
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