Seasonal patterns in oil prices and their implications for investors

Árendáš, Peter; Tkacova, Daniela; Bukoven, Jan

doi:10.14254/2071-8330.2018/11-2/12

Cited by 5 publications

(1 citation statement)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This outcome mainly occurs because, on the one hand, the financial attribute and strategic energy position of crude oil are highlighted increasingly, and the integration between the crude oil market and financial market is accelerating continuously [45]. When a market price fluctuates because of impacts from risk events, the price fluctuation of other markets will be induced according to the transmission effect of the price and financial contagion effect [46]. Thus, price correlation and the information spillover between the crude oil market and stock market are strengthened as a result of risk events [47].…”

Section: Discussionmentioning

confidence: 99%

Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets

2020

View full text Add to dashboard Cite

With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s stock markets increasingly attracts the attention of the public. In order to explore the impact of international oil price fluctuation on China’s stock markets and the time-varying spillover differences of industry sectors, this study proposes three research hypotheses and constructs a multi-time scale analysis framework based on wavelet analysis and a time-varying t-Copula model. In this paper, we use the Shanghai Composite Index as the representative of a general trend of the stock market, and we use the stock index of the China Securities Industry as the counterpart of industrial sectors. Based on the data from 5 January 2005 to 31 May 2020, this paper measures and analyzes the spillover effect of international oil price fluctuation on China’s stock markets, under different volatility periods. The results show that, firstly, the spillover effect of international oil price fluctuation on the Chinese stock markets is different. In the short and medium volatility period, the changes in international oil price are ahead of the changes in the Chinese stock markets, while the latter is ahead of the former under long-term fluctuations. Secondly, the spillover effect of international oil price fluctuation on China’s industry stock indexes is persistent. As the time scale increases, the tail dependency will increase. Finally, the impact of risk events aggravates the volatility of the stock markets in the short-term, while the mid- to long-term impact mainly affects the volatility trend. Investment risk control can make overall arrangement on the basis of the characteristics of oil price impact under different fluctuation stages.

show abstract

Section: Discussionmentioning

confidence: 99%