Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

Zeng, Hongjun; Ahmed, Abdullahi D.; Lu, Ran; Dai, Ningjing

doi:10.1016/j.heliyon.2022.e11737

Cited by 19 publications

(6 citation statements)

References 61 publications

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“…In the fourth step, we analyze risk spillovers using the CoVaR measure based on estimated marginal distributions and t-copulas of returns series to examine Hypothesis 3. The combination of these three models is commonly utilized in the academic literature, as demonstrated by the works of various researchers such as Dai et al (2023), Hanif et al (2022), Jain and Maitra (2023), Kielmann et al (2022), Rehman et al (2023), Yao andLi (2023), andZeng et al (2022), underscoring its validity and widespread acceptance in scholarly discourse. For clarity and easy reference, we have synthesized a summary of their models' application in Table A1.…”

Section: Methodsmentioning

confidence: 99%

Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

Yu,

Xu,

Chen

2024

JRFM

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This paper provides an investigation into the dependence structure among different disruptive technology sectors driving the Fourth Industrial Revolution and scrutinizes the impact of ESG integration on shaping investments in different tech stock sectors in the presence of ESG consideration, represented by the ESG stock index, versus without specific ESG consideration, represented by the general stock index. The results show that (i) C-vine outperforms R-vine and D-vine when modeling the dependence structure of tech sectors. Intelligent infrastructure is the most crucial sector, with substantial reliance on smart transportation and advanced manufacturing. (ii) ESG integration reduces dependence, especially tail dependence, between tech sectors and the stock market, which benefits the future security sector the most and future communication the least. (iii) ESG integration mitigates risk spillover between tech sectors and the stock market, particularly benefiting final frontiers and intelligent infrastructure. The decrease in downside spillover is more significant compared to upside scenarios. For downside risk, spillover from tech sectors to stock indices is more reduced than the reverse, while the opposite holds for upside risk. These sectoral findings offer insights for market participants in financial market investments, financial regulators in risk management, and listed companies in ESG disclosure.

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Section: Methodsmentioning

confidence: 99%

Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

Yu,

Xu,

Chen

2024

JRFM

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“…The grouping of spillovers caused by volatility is represented by the ARCH coefficient of matrix A2(ii) which shows that news/surprises occur in an asset, while the impact of volatility persistence is represented by the GARCH coefficient of matrix B2(ii). (Zeng et al, 2022) It is important to emphasize that the spillover effect of covolatility from market i to j is different from the spillover effect from market j to i. The difference between the two impacts depends on the residuals arising from markets i and j.…”

Section: Bekk Diagonalmentioning

confidence: 99%

Volatility spillovers of Crude Palm Oil, Crude Oil, Coal, Exchange Rates and Indonesian Stock Market 2013-2023

Setiahutami,

Chalid

2024

Eduvest

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This research is meant to analyze Volatility spillover between energy commodity market future (Crude Oil, Coal, and Palm Oil) with the Indonesian JKSE stock market and IDR-USD exchange rate. The data used is daily data taken during May 2013 until September 2023 by BEKK Diagonal Model. This research found that there were different patterns in asset pairs in relation to pre-pandemic and pandemic. Crude oil and palm oil had a positive relationship before pandemic and during the pandemic coal and the exchange rate had a positive relationship. Meanwhile, after the Covid 19 pandemic, no covolatility spillover was found. An increase in covolatility spillover was found during the pandemic from exchange rate asset pairs. This research also shows the potential for portfolio diversification for each asset pair through optimal portfolio weights. Understanding volatility movements and interdependencies in Commodities Future, Stock Markets and Exchange Rates is important for proper investment management, and this research can help investors in making proper decisions.

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“…Furthermore, research reveals a positive relationship between investor sentiment and stock market crash risks [ 40 ]; Zouaoui et al, 2011) [ 41 ]. highlighted the dependence and spillover among oil market, China's stock market, and exchange rate, hinting at the importance of understanding intertwined financial networks.…”

Section: Review Of Relevant Literature and Eventmentioning

confidence: 99%

The impact of index futures crash risk on bitcoin futures returns and volatility

Tang,

Lee,

Huang

et al. 2024

Heliyon

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Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

Cited by 19 publications

References 61 publications

Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

Volatility spillovers of Crude Palm Oil, Crude Oil, Coal, Exchange Rates and Indonesian Stock Market 2013-2023

The impact of index futures crash risk on bitcoin futures returns and volatility

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