2016
DOI: 10.1016/j.eneco.2016.07.013
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Crude oil and stock markets: Causal relationships in tails?

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Cited by 94 publications
(48 citation statements)
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References 42 publications
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“…For instance, Turhan et al (2014) show that in recent years oil prices have been determined not only by aggregate supply and demand, but also by investment preferences and investors'behavior. This …nding has been supported by other studies that have encountered bidirectional causality between oil prices and stock market returns, specially during periods of …nancial distress (Lee et al, 2012;Ding et al, 2016;and, Zhang, 2017).…”
Section: Introductionsupporting
confidence: 79%
See 1 more Smart Citation
“…For instance, Turhan et al (2014) show that in recent years oil prices have been determined not only by aggregate supply and demand, but also by investment preferences and investors'behavior. This …nding has been supported by other studies that have encountered bidirectional causality between oil prices and stock market returns, specially during periods of …nancial distress (Lee et al, 2012;Ding et al, 2016;and, Zhang, 2017).…”
Section: Introductionsupporting
confidence: 79%
“…The oil …nancialization literature has motivated interest in the study of the direction of causality between crude oil prices and stock market returns. Papers in this strand have recently grown in number and many of them have detected bidirectional relations between oil prices and stock market returns (Arouri and Nguyen, 2010;Lee et al, 2012;Ajmi et al, 2014;Ding et al, 2016;Bouri et al, 2017). Although many papers studying causality use information on stock markets of several countries, all of them focus in bivariate relations.…”
Section: Brief Literature Reviewmentioning
confidence: 99%
“…For the lagged coeffi cients of dex , , , However, recent studies (e.g. Ding et al, , 2016 have proposed some concerns that may undermine the validity of the classic Granger causality test. Specifi cally, the classic Granger causality test requires the considered variables to be stationary, which must be verified before the implementation of the formal test.…”
Section: Linear Granger Causality Testmentioning
confidence: 99%
“…Their findings were complemented by Ding et al . () which investigated the causal relationships between oil shocks and five stock indexes (S&P 500, Nikkei, Hang Seng, Shanghai and KOSPI) and reported an asymmetric causality between oil price shocks and different stock markets. In evidence from China (a large importer), Peng et al .…”
Section: Nexus Between Oil Prices and Stock Marketmentioning
confidence: 99%
“…Likewise, Ding et al . () documented heterogeneity in the response of different stock markets to oil prices shocks while analysing four Asian (Chinese, Hong Kong, Korean and Japanese) and one in the US stock market. Similarly, Broadstock and Filis () found Chinese stock market more resilient to oil shocks than the United States.…”
Section: Introductionmentioning
confidence: 99%