Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA

Tiwari, Aviral Kumar; Mishra, Bibhuti Ranjan; Solarin, Sakiru Adebola

doi:10.1016/j.energy.2020.119732

Cited by 45 publications

(26 citation statements)

References 45 publications

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“…The time-varying dynamics of financial markets revealed that connectedness is sparked during economically stressed periods (Abakah et al. , 2021; Tiwari et al. , 2021), as reflected by several spikes in the graph, whereas troughs display the normalized circumstances of financial markets.…”

Section: Resultsmentioning

confidence: 99%

“…The time-varying dynamics of financial markets revealed that connectedness is sparked during economically stressed periods (Abakah et al, 2021;Tiwari et al, 2021), as reflected by several spikes in the graph, whereas troughs display the normalized circumstances of financial markets. The initial spike in the graph during 2008-2010 represents aftershocks of the GFC, where high connectedness among markets is evident (Arif et al, 2021a).…”

Section: Connectedness Tablementioning

confidence: 99%

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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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PurposeThis study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the connectedness of given financial markets is also observed.Design/methodology/approachThis study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.FindingsThis study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.Practical implicationsThe findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.Originality/valueUsing a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.

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Section: Resultsmentioning

confidence: 99%

Section: Connectedness Tablementioning

confidence: 99%

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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“…Finally, the consequent rise in the graph during 2019–2020 redirects the onset of the COVID-19 pandemic where a global health emergency announced by the World Health Organization (2020) hoisted the correlations among markets revealing a sudden uncertain condition the economy. Several studies, for instance, Wang and Xu ( 2021 ), Zheng et al, ( 2021 ), Le et al ( 2021 ), Tiwari et al ( 2021 ), Naeem et al, ( 2021a , 2021b ), and Shahzad et al ( 2021 ), stated that the global pandemic of COVID-19 has embarked unprecedented challenges for the global economy and financial markets where increased correlations in the form of a sharp spike during 2019–2020.…”

Section: Resultsmentioning

confidence: 99%

Risk Connectedness Between Green and Conventional Assets with Portfolio Implications

2022

Self Cite

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The increasing concerns of investors toward green bonds and their appealing nature of diversification has motivated the current research to study the risk connectedness between green and conventional assets spanning from August 2014 to December 2020. We first estimate the dynamic equi-correlations through DECO-GARCH. Next, we assess the dynamic and static risk connectedness in the median, extreme low, and extreme high quantiles arguing that spillovers vary across different time periods particularly during economically intense time periods. Finally, we analyzed the hedge ratio and hedge effectiveness between green bonds and other assets. We find that equi-correlations are intense during economic shocks such as the Shale oil crisis, Brexit, US interest rate hike, and COVID-19 pandemic. The volatility analysis at average, lower, and upper quantiles also validate time-varying attributes of green and conventional assets. Further, network figures of green and conventional assets identify potential diversification opportunities. Meanwhile, the hedge effectiveness indicates that green bonds are effective hedge for precious metals and cryptocurrencies. Our findings draw multiple implications for policymakers, green investors, financial market participants, and regulatory authorities regarding flight-to-safety during crisis times and maintaining a diverse portfolio to escape potential losses.

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“…Substantial evidence regarding oil price and stock price relationships has attracted academic researchers, investors, and policymakers (Mishra et al, 2019). Such evidence also has empirical support in the existing literature (Pal & Mitra, 2017;Kumar, 2019;Ehouman, 2020;Hashmi et al, 2021;Jiang & Liu, 2021;Tiwari et al, 2021). The economic justification of finance practitioners and researchers related to the stock prices and oil connection depends on the argument that changes in the prices of oil impact stock prices through corporate gains and cash flows.…”

Section: Introductionmentioning

confidence: 99%

Impact of oil prices on the Islamic and conventional stock indexes’ performance in Malaysia during the COVID-19 pandemic: Fresh evidence from the wavelet-based approach

et al. 2022

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The motivation behind conducting this research is to study the association between oil prices and Islamic and conventional stock indexes’ performance in the Malaysian market during COVID-19 using the wavelet analysis technique. The daily data on selected variables were collected from 1 January 2020, to 10 June 2021. Empirical investigation was made with wavelet analysis along with the Toda-Yamamoto test. The results revealed the significant response of both indexes to the oil price. Such response was negative for the short- and medium terms; however, it became positive in the long run. Our research has several important implications and recommendations for asset managers and policymakers. Policymakers and regulators should promote awareness and adopt effective action plans to minimize the risk of change in oil prices during the COVID-19 period. This research will enable investors, scholars, and policymakers to improve their current structure and prepare them for any potential future crisis.

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Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA

Cited by 45 publications

References 45 publications

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Risk Connectedness Between Green and Conventional Assets with Portfolio Implications

Impact of oil prices on the Islamic and conventional stock indexes’ performance in Malaysia during the COVID-19 pandemic: Fresh evidence from the wavelet-based approach

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