The evolution of day-of-the-week and the implications in crude oil market

Li, Wenhui; Zhu, Qi; Wen, Fenghua; Nor, Normaziah Mohd

doi:10.1016/j.eneco.2022.105817

Cited by 7 publications

(1 citation statement)

References 47 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Ref. [57] assessed time-frequency volatility spillovers across global crude oil markets and major energy future markets in China during the pandemic. The study found increased volatility spillovers across different time intervals, indicating heightened transmission of volatility.…”

Section: Spillover Of Natural Disasters and Oil Stock Returnsmentioning

confidence: 99%

Spillovers across the Asian OPEC+ Financial Market

Vuković,

Dekpo-Adza,

Khmelnitskiy

et al. 2023

Mathematics

View full text Add to dashboard Cite

This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in light of recent exogenous events. The analysis commences by creating a self-generated Asian OPEC+ index, which demonstrates significant volatility, as indicated by GARCH (1, 1) model estimation. The results obtained from the Diebold and Yilmaz spillover test indicate that, on average, there is a moderate degree of connectedness among the variables. However, in the event of global-level shocks or shocks specifically affecting Asian OPEC+ countries, a heightened level of connectedness is found. Prominent instances of spillover events observed in the volatility analysis conducted during the previous decade include the COVID-19 pandemic, the conflict between Russia and Ukraine, and the Turkey earthquake of 2023. Based on the facts, it is recommended that investors take into account the potential risks linked to regions that are susceptible to natural calamities and geopolitical occurrences while devising their portfolios for oil stocks. The results further highlight the significance of integrating these aspects into investors’ decision-making procedures and stress the need for risk management tactics that consider geopolitical risks and natural disasters in the oil equity market.

show abstract

Section: Spillover Of Natural Disasters and Oil Stock Returnsmentioning

confidence: 99%