Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1): New evidence from cross‐quantilogram approach

Abstract

We examine the directional predictability of energy stock returns on exchange rates and stock market in the E7 + 1 emerging market economies, which

Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets

“…A richer understanding of the dependence structures is important for market participants to understand how climate futures could potentially hedge or diversify risks in energy markets under varied conditions. Hence, our study also adds to the literature on CQ for dependency and hedging and safe‐haven analysis (Arif et al, 2022; Cho & Han, 2021; Karim et al, 2023; Shahzad et al, 2019; Sohag et al, 2023; Tiwari et al, 2022, 2023). In addition, the current study enhances the understanding of how an asset of a different family can be a diversifier, hedge, and safe‐haven for the energy‐commodity market (e.g., Bouri, Molnár, et al, 2017; Hernandez et al, 2019; Lee & Yoon, 2020; Mokni et al, 2022; Salisu et al, 2021; Uddin et al, 2018).…”

“…CQ methodology enables the analysis of interdependence across various periods and quantiles, providing a more comprehensive understanding of how relationships may change in different market conditions (Rehman et al, 2022). The CQ is designed to analyze the dynamic dependence between two‐time series, considering their nonlinear and asymmetric characteristics (Arif et al, 2022; Cho & Han, 2021; Karim et al, 2023; Shahzad et al, 2019; Sohag et al, 2023; Tiwari et al, 2022, 2023). Additionally, it is less likely to have errors in specification.…”

“…Therefore, the utilization of various methods allows researchers to triangulate their findings. Many past studies consider CQ for asymmetric relationships and directional dependence among financial assets (Karim et al, 2023; Sohag et al, 2023; Tiwari et al, 2022, 2023). Particularly, Bunditsakulporn (2022), Rehman et al (2022), and Sohag et al (2023) employed this approach in testing for hedging and safe‐havens.…”

“…The CQ is designed to analyze the dynamic dependence between two-time series, considering their nonlinear and asymmetric characteristics (Arif et al, 2022;Cho & Han, 2021;Karim et al, 2023;Sohag et al, 2023;Tiwari et al, 2022Tiwari et al, , 2023. Additionally, it is less likely to have errors in specification.…”

Assessing the spillover of shocks from the oil market to the stock market of different industry sectors in America: A quantile regression approach

“…The global oil market should serve as a platform for constant interaction between producers, regulators and users of different origins, despite occasional doubts about its global nature and integration (Dragomirescu- Gaina et al, 2023). The impact of a strong energy market extends beyond the economy as a whole, influencing key domestic markets such as foreign exchange and stock markets, as well as shaping trading methods (Tiwari et al, 2024).…”