Does the S&amp;P500 index lead the crude oil dynamics? A complexity-based approach

Kyrtsou, Catherine; Mikropoulou, Christina; Papana, Angeliki

doi:10.1016/j.eneco.2016.02.001

Cited by 23 publications

(5 citation statements)

References 45 publications

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“…These findings highlight the strong correlation between US stock market and crude oil markets. The linkage between S&P500 and crude oil markets has been widely observed and confirmed in the previous studies (Kyrtsou et al, 2016;Zhang and Wang, 2019). In the case of CSI300, for US panel, β CSI300 is positive and significant at 70% quantile and 90% quantile.…”

Section: Resultssupporting

confidence: 77%

“…Standard & Poor's 500 (S&P500) index has been widely employed in crude oil forecasting models (Lu et al, 2020). In addition, a persistent lead-lag relationship between S&P500 and WTI futures has been found (Kyrtsou et al, 2016). In recent years, Chinese government attempts to internationalized mainland China's financial market and attract more foreign capitals.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Understanding the determinants of the crude oil future market is of great interest. Previous research mainly examines the contributions of supply and demand fundamentals (Pan et al, 2017;Meng and Liu, 2019), macroeconomic factors (Aloui et al, 2016;Meng and Liu, 2019), financial factors (Kyrtsou et al, 2016;Lu et al, 2020) and political factors (Chen et al, 2016;…”

Section: Introductionmentioning

confidence: 99%

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New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

Shao¹,

Shao²,

Yang³

2021

Preprint

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This paper investigates the cointegration between possible determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of WTI and newlylaunched Shanghai crude oil futures (SC) via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results confirm that economic policy uncertainty, stock markets, interest rates and coronavirus panic are important drivers of WTI futures prices. Our findings also suggest that the US and China's stock markets play vital roles in movements of SC futures prices. Meanwhile, CSI300 stock index has a significant positive short-run impact on SC futures prices while S&P500 prices possess a positive nexus with SC futures prices both in long-run and short-run. Overall, these empirical evidences provide practical implications for investors and policymakers.

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Section: Resultssupporting

confidence: 77%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

Shao¹,

Shao²,

Yang³

2021

Preprint

View full text Add to dashboard Cite

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“…Thus, the size of spillovers depends on the underlying market conditions. Kyrtsou, C., C. Mikropoulou, and A. Papana (2016), Energy Economics The authors employ two unorthodox nonlinear statistical methods to investigate the interdependency between the S&P 500 stock market index and the oil market. The authors show that movements in the stock market can predict market participants' expectations for crude oil.…”

Section: Appendix a Unit Root Tests And Real Crude Oil Pricesmentioning

confidence: 99%

Have commodities become a financial asset? Evidence from ten years of Financialization

2020

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“…(), Kyrtsoua et al . () and Zhang () found a shift in the association between the US stock market and oil shocks the after the Global Financial Crises (hereafter GFC). In addition to that, the relationship between the oil prices and the stock market has found to be strongly time‐varying by studies like Broadstock and Filis (), Inchauspe et al .…”

Section: Introductionmentioning

confidence: 99%

A Treatise on Oil Price Shocks and their Implications for the UK Financial Sector: Analysis Based on Time‐Varying Structural VAR Model

Nasir

Rizvi

Rossi

2017

The Manchester School

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In this paper, we examined the association among the energy sector stock, oil prices and stock market on the whole. We also considered the UK position from the net oil exporter to net oil importer and implications of the Global Financial Crises. Employing a Time‐Varying Vector Auto‐regressive framework on monthly data from January 1990 to June 2015 in which the sources of time variation were both the coefficients and variance‐covariance matrix of the innovations, this study found that historically oil price shocks have negatively affected the stock market, however the energy sector stock has always responded positively holding their title as hedge against oil shocks. It was also found that the shift from net oil exporter to net oil importer did not influence the association between the UK stock market and oil shocks much. Including the discrete break and subsampling of series led to controlling for the prior beliefs and agent's behaviour in the Pre‐GFC period. It turned out that the GFC had been a game changer and the stock market as well as the energy sector showed a positive and symmetric response to oil shocks. These findings have profound implications in terms of depressed global aggregate demand and oil shocks dynamics in the Post‐GFC world.

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Does the S&P500 index lead the crude oil dynamics? A complexity-based approach

Cited by 23 publications

References 45 publications

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

Have commodities become a financial asset? Evidence from ten years of Financialization

A Treatise on Oil Price Shocks and their Implications for the UK Financial Sector: Analysis Based on Time‐Varying Structural VAR Model

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