Dynamic quantile connectedness between oil and stock markets: The impact of the interest rate

被引:6
作者
Qin, Jingrui [1 ]
Cong, Xiaoping [2 ]
Ma, Di [3 ]
Rong, Xueyun [4 ]
机构
[1] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
[2] Shandong Technol & Business Univ, Sch Publ Adm, Yantai, Shandong, Peoples R China
[3] Nanjing Univ Aeronaut & Astronaut, Coll Econ & Management, Nanjing, Peoples R China
[4] Dalian Univ Technol, Sch Publ Adm & Policy, Dalian, Peoples R China
关键词
Connectedness; Interest rate; Oil and stock markets; Quantile regression TVP-VAR model; Semiparametric model; PRICE SHOCKS; CRUDE-OIL; VOLATILITY SPILLOVERS; RISK SPILLOVERS; RETURNS; UNCERTAINTY; ENERGY; US;
D O I
10.1016/j.eneco.2024.107741
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper explores the heterogeneous and dynamic connectedness between the oil and stock markets of emerging economies under various market conditions by introducing a novel quantile regression TVP-VAR network method. Moreover, a semiparametric model is used to analyze the impact of interest rates on the connectedness. The results show that (1) the total connectedness between the oil and stock markets of emerging economies in bull and bear markets is significantly larger than under normal market conditions. Moreover, the total connectedness is time -varying and crisis -sensitive in all market scenarios. (2) The total connectedness has asymmetric characteristics in bull and bear markets. The net information spillover from oil markets to stock markets of emerging economies shows heterogeneity under different market backgrounds. (3) The impact of interest rates on the total connectedness exhibits a "U-shaped " curve pattern for all market statuses. This study can serve as a reference for regulators aiming to formulate monetary policies for different market environments, especially extreme markets, and for investors aiming to adjust their investment strategies and optimize their investment portfolios according to market conditions.
引用
收藏
页数:19
相关论文
共 57 条
[1]   Oil Price Shocks and the Stock Market: Evidence from Japan [J].
Abhyankar, Abhay ;
Xu, Bing ;
Wang, Jiayue .
ENERGY JOURNAL, 2013, 34 (02) :199-222
[2]  
[Anonymous], 2019, Global Financial Development Report 2019/2020: Bank Regulation and Supervision a Decade after the Global Financial Crisis, P155, DOI DOI 10.1596/978-1-4648-1447-1
[3]   Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management [J].
Arouri, Mohamed El Hedi ;
Jouini, Jamel ;
Duc Khuong Nguyen .
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2011, 30 (07) :1387-1405
[4]   Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness [J].
Billah, Mabruk ;
Karim, Sitara ;
Naeem, Muhammad Abubakr ;
Vigne, Samuel A. .
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 62
[5]   The size of good and bad volatility shocks does matter for spillovers [J].
Bouri, Elie ;
Harb, Etienne .
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 80
[6]   Quantile connectedness in the cryptocurrency market [J].
Bouri, Elie ;
Saeed, Tareq ;
Xuan Vinh Vo ;
Roubaud, David .
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2021, 71
[7]   Oil price shocks and stock market returns: New evidence from the United States and China [J].
Broadstock, David C. ;
Filis, George .
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2014, 33 :417-433
[8]   The Asset-Pricing Implications of Government Economic Policy Uncertainty [J].
Brogaard, Jonathan ;
Detzel, Andrew .
MANAGEMENT SCIENCE, 2015, 61 (01) :3-18
[9]   Conditional correlations and volatility spillovers between crude oil and stock index returns [J].
Chang, Chia-Lin ;
McAleer, Michael ;
Tansuchat, Roengchai .
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2013, 25 :116-138
[10]   Oil price volatility forecasting: Threshold effect from stock market volatility [J].
Chen, Yan ;
Qiao, Gaoxiu ;
Zhang, Feipeng .
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2022, 180