Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis

被引:12
作者
Mensi, Walid [1 ,2 ]
Ziadat, Salem Adel [3 ]
Xuan Vinh Vo [2 ,4 ]
Kang, Sang Hoon [5 ]
机构
[1] Sultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman
[2] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam
[3] Al Ahliyya Amman Univ, Fac Business, Amman, Jordan
[4] Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, Vietnam
[5] Pusan Natl Univ, PNU Business Sch, Busan, South Korea
基金
新加坡国家研究基金会;
关键词
Oil; Vietnamese stock sectors; Quantile spillovers; Crises; Hedging; DYNAMIC CONDITIONAL CORRELATION; IMPULSE-RESPONSE ANALYSIS; PRICE SHOCKS; VOLATILITY SPILLOVERS; ECONOMIES EVIDENCE; TIME-SERIES; CRUDE-OIL; CONTAGION; RETURNS; FINANCIALIZATION;
D O I
10.1108/IJOEM-03-2022-0513
中图分类号
F [经济];
学科分类号
02 ;
摘要
Purpose This study examines the extreme quantile connectedness and spillovers between West Texas Intermediate (WTI) crude oil futures and ten Vietnamese stock market sectors. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets. Design/methodology/approach The authors employ the extreme quantile connectedness methodology of Ando et al. (2022). Findings Initial results show that the size of spillovers is higher during bearish markets than bullish markets and under major financial, political, energy and pandemic events. The oil market is a net receiver of spillovers during downward markets and net contributors during upward markets. The banking sector is a net contributor of spillovers, whereas consumer discretionary and consumer staples are net receivers for different quantiles. The role of the remaining sectors as net receivers/contributors is sensitive to the quantiles. Oil has a large spillover effect on the electricity sector for all quantiles. Comparing all crises, oil offers the best hedging effectiveness to the Vietnamese sector during the coronavirus disease 2019 (COVID-19) crisis. Moreover, oil was a cheap hedge asset during oil crises. Finally, oil provides the highest hedging effectiveness for healthcare during the global financial crisis (GFC) and consumer staples during the European debt crisis (EDC), oil crisis and COVID-19. Originality/value Acknowledging the presence of heterogeneity in the relation between oil and economic sectors under different market conditions, this study is the first to examine the extreme quantile connectedness between oil and Vietnamese sectors.
引用
收藏
页码:1586 / 1625
页数:40
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