The International Spillover Among Sectors and the Interconnectedness to the Global Inflation Cycle

Hakim, Amira; Hachicha, Néjib; Thalassinos, Eleftherios

doi:10.2139/ssrn.4058031

Cited by 1 publication

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“…\ To address this gap, we employ a quantile frequency connectedness approach, which combines elements from the quantile connectedness approach proposed by Chatziantoniou et al (2021) and the frequency connectedness approach introduced by Baruník and Křehlík (2018). This modified approach allows us to investigate the propagation mechanisms between oil prices and stock market prices by considering both the quantile and frequency aspects (Hakim et al, 2022;Hakim and Thalassinos 2021).…”

Section: Sun Et Al (2021) Investigated the Long-term Correlation Betw...mentioning

confidence: 99%

Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times

Dhoha

2023

IJEBA

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Purpose:The aim of this study is to investigate the relationship between the price of crude oil and the BRICS countries 04/01/2016 to 05/01/2023, by analyzing the spillover effects and connectedness using the quantile VAR approach. Design/Methodology/Approach: Researchers focused on three quantiles -median, high, and low to capture the connectedness. Findings: The results show first, that there is higher total connectedness in the bearish and bullish market conditions compared with normal conditions. Moreover, the degree of connectedness is even stronger during periods of crises such the case during the Covid-19 pandemic and the Russian-Ukrainian war. This shows that under extreme market conditions, the strength of the connectedness increases with the size of the shock, suggesting a symmetric relationship. Practical implications:The frequency connectedness is divided into high and low-frequency and it is discovered that the short-term TCI had a greater impact on the total TCI than the long-term TCI. Originality value: These findings can be valuable for both international investors and policy makers.

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Section: Sun Et Al (2021) Investigated the Long-term Correlation Betw...mentioning

confidence: 99%

Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times

Dhoha

2023

IJEBA

View full text Add to dashboard Cite

show abstract

The International Spillover Among Sectors and the Interconnectedness to the Global Inflation Cycle

Cited by 1 publication

References 0 publications

Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times

Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times

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