Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis
被引:12
作者:
Mensi, Walid
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机构:
Sultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman
Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, VietnamSultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman
Mensi, Walid
[1
,2
]
Ziadat, Salem Adel
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机构:
Al Ahliyya Amman Univ, Fac Business, Amman, JordanSultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman
Ziadat, Salem Adel
[3
]
Xuan Vinh Vo
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机构:
Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam
Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, VietnamSultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman
Xuan Vinh Vo
[2
,4
]
论文数: 引用数:
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机构:
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
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.
机构:
Ono Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, IsraelOno Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
Aharon, David Y.
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Demir, Ender
论文数: 0引用数: 0
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Reykjavik Univ, Sch Social Sci, Dept Business Adm, Reykjavik, Iceland
Istanbul Medeniyet Univ, Fac Tourism, Istanbul, TurkeyOno Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
机构:
Fuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R ChinaFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
Ashfaq, Saleha
;
Tang, Yong
论文数: 0引用数: 0
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机构:
Fuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R ChinaFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
Tang, Yong
;
Maqbool, Rashid
论文数: 0引用数: 0
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CENTRUM Catolica Grad Business Sch CCGBS, Lima, Peru
Pontificia Univ Catolica Peru PUCP, Lima, PeruFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
机构:
SWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
Univ Surrey, Fac Econ Business & Law, SEEC, Guildford GU2 5XH, Surrey, EnglandSWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
Broadstock, David C.
;
Filis, George
论文数: 0引用数: 0
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Univ Surrey, Fac Econ Business & Law, SEEC, Guildford GU2 5XH, Surrey, England
Bournemouth Univ, Dept Accounting Finance & Econ, Execut Business Ctr, Bournemouth BH8 8EB, Dorset, EnglandSWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Chen, Lin
;
Wen, Fenghua
论文数: 0引用数: 0
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机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Wen, Fenghua
;
Li, Wanyang
论文数: 0引用数: 0
h-index: 0
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Li, Wanyang
;
Yin, Hua
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机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Yin, Hua
;
Zhao, Lili
论文数: 0引用数: 0
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机构:
Hainan Univ, Sch Econ, Haikou 570228, Hainan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
机构:
Ono Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, IsraelOno Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
Aharon, David Y.
;
Demir, Ender
论文数: 0引用数: 0
h-index: 0
机构:
Reykjavik Univ, Sch Social Sci, Dept Business Adm, Reykjavik, Iceland
Istanbul Medeniyet Univ, Fac Tourism, Istanbul, TurkeyOno Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
机构:
Fuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R ChinaFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
Ashfaq, Saleha
;
Tang, Yong
论文数: 0引用数: 0
h-index: 0
机构:
Fuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R ChinaFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
Tang, Yong
;
Maqbool, Rashid
论文数: 0引用数: 0
h-index: 0
机构:
CENTRUM Catolica Grad Business Sch CCGBS, Lima, Peru
Pontificia Univ Catolica Peru PUCP, Lima, PeruFuzhou Univ, Sch Econ & Management, Fuzhou, Fujian, Peoples R China
机构:
SWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
Univ Surrey, Fac Econ Business & Law, SEEC, Guildford GU2 5XH, Surrey, EnglandSWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
Broadstock, David C.
;
Filis, George
论文数: 0引用数: 0
h-index: 0
机构:
Univ Surrey, Fac Econ Business & Law, SEEC, Guildford GU2 5XH, Surrey, England
Bournemouth Univ, Dept Accounting Finance & Econ, Execut Business Ctr, Bournemouth BH8 8EB, Dorset, EnglandSWUFE, RIEM, Chengdu 6100074, Sichuan, Peoples R China
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Chen, Lin
;
Wen, Fenghua
论文数: 0引用数: 0
h-index: 0
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Wen, Fenghua
;
Li, Wanyang
论文数: 0引用数: 0
h-index: 0
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Li, Wanyang
;
Yin, Hua
论文数: 0引用数: 0
h-index: 0
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Yin, Hua
;
Zhao, Lili
论文数: 0引用数: 0
h-index: 0
机构:
Hainan Univ, Sch Econ, Haikou 570228, Hainan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China