Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets

Ashfaq, Saleha; Tang, Yong; Maqbool, Rashid

doi:10.1016/j.energy.2020.118077

Cited by 27 publications

(10 citation statements)

References 62 publications

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“… Goodell, 2020 , Huang et al, 2021 , Le et al, 2021 , Maghyereh and Abdoh, 2022 , Ashfaq et al, 2020 , Shah and Dar, 2021 , Zhang and Hamori, 2021 …”

Section: Uncited Referencesmentioning

confidence: 99%

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach

Huang

Chen

et al. 2023

Finance Research Letters

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“… Goodell, 2020 , Huang et al, 2021 , Le et al, 2021 , Maghyereh and Abdoh, 2022 , Ashfaq et al, 2020 , Shah and Dar, 2021 , Zhang and Hamori, 2021 …”

Section: Uncited Referencesmentioning

confidence: 99%

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach

Huang

Chen

et al. 2023

Finance Research Letters

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“…Meanwhile, using vector autoregression and the pseudo quantile impulse response function, Wen, Wang, Ma, and Wang (2019) found that the spillover effect between crude oil and stock markets was significant in the upside quantiles, and this spillover effect increased after the GFC. Ashfaq, Tang, and Maqbool (2020) tested the spillover effects between crude oil prices and Asian stock markets using a VAR-DCC-GARCH model and found that strong spillover relations existed.…”

Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Zhang

2021

International Review of Financial Analysis

135

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“…Therefore, the research on the risks connections among financial markets has become the focus of academic circles. Related research mainly takes financial sub-markets such as stock market ( 6 – 11 ), commodity market ( 11 , 12 ), bond market ( 13 , 14 ), foreign exchange market ( 15 ) and virtual currency market ( 16 , 17 ) as the research objects, and conducts multi-directional identification and characterization analysis on the cross-market and cross-industry contagion characteristics of the financial risks under the impact of external emergencies, including the global financial crisis (GFC) and the European debt crisis (EDC).…”

Section: Literature Reviewmentioning

confidence: 99%

“…We extracted Formulas (10) and (11) and defined the net pairwise countries contagion of the financial market risk from country i to country j as the contagion of the financial market risk from country i to country j minus the contagion of the financial market risk from country j to country i. This is calculated as follows:…”

Section: The Construction Of the Dynamic Spillover Connectedness Indexmentioning

confidence: 99%

The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk

Tan

Wang

et al. 2022

Front. Public Health

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The COVID-19 outbreak has greatly impacted the stability of the global financial markets. In the post-COVID-19 pandemic era, the risk contagion patterns of the global financial markets may change. This paper utilizes the conditional value-at-risk (ΔCoVaR) model to measure the risk level of the financial markets in various economies and uses the TVP-VAR-CONNECTEDNESS approach to construct a time-varying spillover index. Based on the dimensions of time and space, we explored the contagion path, contagion status, and contagion structure characteristics of global financial market risk before and during the COVID-19 pandemic. The results entail several conclusions. (i) The COVID-19 pandemic increased the spillover level of global financial market risk and the risk connectedness of financial markets in different countries. In addition, during the concentrated outbreak period of COVID-19, the risk spillover level in developing countries rose rapidly, while the financial risk spillover level in developed countries decreased significantly. (ii) The impact of the COVID-19 pandemic on the spillover of the global financial market risk is time-varying, and there is a strong correlation between the risk spillover level of the financial markets of the world and the severity of the COVID-19 pandemic. (iii) Due to the impact of the COVID-19 pandemic, Brazil, Canada, and Russia have become new risk spillover centers; in the post-COVID-19 pandemic era, China's spillover to developed countries has increased, and the financial influence of China has also gradually increased. In addition, the risk contagion capacity of financial markets among European countries is gradually converging. (iv) During the concentrated outbreak of the COVID-19 pandemic, the Americas were the main exporter of global financial market risk, while Europe played a role in risk absorption.

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Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets

Cited by 27 publications

References 62 publications

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk

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