Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?

Ntantamis, Christos; Zhou, Jun

doi:10.2139/ssrn.2396904

Cited by 2 publications

(1 citation statement)

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“…One is based on detecting oil booms and slumps proxied by bull and bear states, respectively, using semi-parametric rulebased algorithms. Although there are relatively few applications of detecting bull/bear phases in crude oil markets, like Chang et al (2010), Ntantamis and Zhou (2015), and Gil-Alana et al (2016), such an approach resonates well with the empirical oil studies which advocate that positive and negative oil price movements have asymmetric effects on the rest of the economy 2 . For our second approach to identify calm and crisis episodes in energy markets, we employ a non-hierarchical k-means clustering algorithm to categorise realised crude oil market volatility measures into discrete groups of relative tranquillity and turbulence.…”

Section: Introductionmentioning

confidence: 76%

Energy contagion analysis: A new perspective with application to a small petroleum economy

2019

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We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm and crisis conditions in the international crude oil market, we are able to compare how various co-moments in the energy-finance nexus change during oil booms and slumps using semi-parametric rule-based algorithms, as well as during relatively tranquil and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures. Our main results show a negative oil-real effective exchange rate dependency; a weak oil-stock returns association; and the existence of several energy contagion channels in both financial relationships, which vanish when we control for the contemporary global financial crash. Energy contagion analysis is essential to financial stability analysis in economies where prosperity is linked to the prices of hard commodities. JEL-Codes: C580, Q490.

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Section: Introductionmentioning

confidence: 76%