A model-free test for contagion between crude oil and stock markets

被引：4

作者：

Pan, Zhiyuan ^{[1
]}

Zheng, Xu ^{[1
]}

Gong, Yuting ^{[1
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China

来源：

ECONOMICS LETTERS | 2015年 / 130卷

基金：

中国国家自然科学基金;

关键词：

Contagion; Model-free test; Crude oil market; Stock market;

D O I：

10.1016/j.econlet.2015.02.023

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper extends Hong et al. (2007)'s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：1 / 4

页数：4

共 14 条

[1] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].

ANDREWS, DWK .

ECONOMETRICA, 1991, 59 (03) :817-858

[2] Asymmetric correlations of equity portfolios [J].

Ang, A ;

Chen, J .

JOURNAL OF FINANCIAL ECONOMICS, 2002, 63 (03) :443-494

[3] Dynamic correlation analysis of financial contagion: Evidence from Asian markets [J].

Chiang, Thomas C. ;

Jeon, Bang Nam ;

Li, Huimin .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2007, 26 (07) :1206-1228

[4] Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].

Engle, R .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350

[5] No contagion, only interdependence: Measuring stock market comovements [J].

Forbes, KJ ;

Rigobon, R .

JOURNAL OF FINANCE, 2002, 57 (05) :2223-2261

[6] Asymmetries in stock returns: Statistical tests and economic evaluation [J].

Hong, Yongmiao ;

Tu, Jun ;

Zhou, Guofu .

REVIEW OF FINANCIAL STUDIES, 2007, 20 (05) :1547-1581

[7]

Li F., 2013, J FINANC ECON

[8] Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia-Pacific Currencies [J].

Lien, Donald ;

Wu, Chongfeng ;

Yang, Li ;

Zhou, Chunyang .

JOURNAL OF FUTURES MARKETS, 2013, 33 (08) :696-723

[9] Extreme correlation of international equity markets [J].

Longin, F ;

Solnik, B .

JOURNAL OF FINANCE, 2001, 56 (02) :649-676

[10] Testing asymmetric correlations in stock returns via empirical likelihood method [J].

Pan, Zhiyuan ;

Zheng, Xu ;

Chen, Qiang .

CHINA FINANCE REVIEW INTERNATIONAL, 2014, 4 (01) :42-57

← 1 2 →