Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic

Zhu, Pengfei; Tang, Yong; Wei, Yu; Lu, Tuantuan

doi:10.1016/j.energy.2021.120949

Cited by 61 publications

(19 citation statements)

References 68 publications

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“…Elliptical Copula and Archimedean Copula are unable to measure asymmetric tails [3] , [19] , [20] , [36] . 3 However, the asymmetric tail dependence between assets is reported [48] .…”

Section: Methodsmentioning

confidence: 99%

“…As the most essential energy in the world, crude oil is important for national economy and social stability [1] , [2] . However, the internal & external influence, including oil supply and demand, global economic fundamentals, financial crisis, major public health affairs, geopolitical conflicts and so on, may cause extreme swings in the crude markets [3] , [4] , [5] , [6] . Since the outbreak of the novel coronavirus disease (COVID-19), global crude prices have experienced unprecedented extreme fluctuations with significant increases or drops [7] , [8] , [9] .…”

Section: Introductionmentioning

confidence: 99%

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How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Zhu

Chen

2022

Physica A: Statistical Mechanics and its Applications

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“…Elliptical Copula and Archimedean Copula are unable to measure asymmetric tails [3] , [19] , [20] , [36] . 3 However, the asymmetric tail dependence between assets is reported [48] .…”

Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Zhu

Chen

2022

Physica A: Statistical Mechanics and its Applications

Self Cite

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“…Wang and Wang (2019) examine the connectedness between the international oil and 11 sectors in China's stock markets. Applying the data from Shanghai oil futures, Zhu et al (2021) demonstrate that oil futures are substantially influenced by stock markets during the COVID-19 pandemic.…”

Section: Market Connectedness Between Coal and Other Assetsmentioning

confidence: 99%

Dynamic spillovers and asymmetric connectedness between fossil energy and green financial markets: Evidence from China

et al. 2022

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With the purpose of risk management for fossil energy investors, this paper examines the dynamic spillover effect and asymmetric connectedness between fossil energy, green financial and major traditional financial markets in China. By employing the spillover index model of Diebold and Yilmaz, a weak correlation between green financial and fossil energy markets is verified, and the market connectedness remains relatively calm despite the COVID-19 pandemic outbreak. Specifically, green bonds receives fewer shocks from crude oil than coal, green stocks receive fewer shocks from coal than crude oil. In addition, rather than the safe-haven characteristics presented by gold, this paper further proves that green bonds also have the potential to act as safe-haven assets, due to the fact that the connectedness between green bonds and energy markets is at low levels. Finally, the magnitude of return spillovers between markets would vary significantly during different periods. The results obtained in this paper have practical implications for both investors and policymakers.

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“…China's stock market also has been observed a close relationship with WTI crude oil prices (Guo et al, 2021). Using China Securities Index 300 (CSI300) and S&P500 as a representative financial index for China and US respectively, Zhu et al (2021) find significant risk spillovers from China and US stock markets to crude oil markets.…”

Section: Literature Reviewmentioning

confidence: 99%

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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Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic

Cited by 61 publications

References 68 publications

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Dynamic spillovers and asymmetric connectedness between fossil energy and green financial markets: Evidence from China

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

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