How do great shocks influence the correlation between oil and international stock markets?

被引：16

作者：

Zhang, Bing ^{[1
]}

机构：

[1] Nanjing Univ, Sch Business, Dept Finance & Insurance, Hankou Rd 22, Nanjing 210093, Jiangsu, Peoples R China

来源：

APPLIED ECONOMICS | 2017年 / 49卷 / 15期

关键词：

Conditional correlation; oil market; stock market; shocks; PRICE SHOCKS; VOLATILITY TRANSMISSION; IMPACT; RETURN; CHINA;

D O I：

10.1080/00036846.2016.1221040

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the impacts of great shocks (2003 Iraq War and 2008 Financial Crisis) on the correlations between oil and US/China stock markets, utilizing a novel MADCC (mixed asymmetry dynamic conditional correlation) model. This model successfully captures the coexistence of opposite signed asymmetries. We find that great shocks indeed increased the correlations. Further, results from the news impact surfaces indicate that correlations between oil and stock markets are higher to joint negative shocks; however, correlation between stock markets has stronger response to joint positive shocks.

引用

页码：1513 / 1526

页数：14

共 25 条

[1] Do structural oil-market shocks affect stock prices? [J].

Apergis, Nicholas ;

Miller, Stephen M. .

ENERGY ECONOMICS, 2009, 31 (04) :569-575

[2] Return and volatility transmission between world oil prices and stock markets of the GCC countries [J].

Arouri, Mohamed El Hedi ;

Lahiani, Amine ;

Duc Khuong Nguyen .

ECONOMIC MODELLING, 2011, 28 (04) :1815-1825

[3] Oil shocks and their impact on energy related stocks in China [J].

Broadstock, David C. ;

Cao, Hong ;

Zhang, Dayong .

ENERGY ECONOMICS, 2012, 34 (06) :1888-1895

[4]

Cappiello L., 2006, J. Financ. Econometri, V4, P537, DOI DOI 10.1093/JJFINEC/NBL005

[5] Jump dynamics and volatility: Oil and the stock markets [J].

Chiou, Jer-Shiou ;

Lee, Yen-Hsien .

ENERGY, 2009, 34 (06) :788-796

[6] Relationships between oil price shocks and stock market: An empirical analysis from China [J].

Cong, Rong-Gang ;

Wei, Yi-Ming ;

Jiao, Jian-Lin ;

Fan, Ying .

ENERGY POLICY, 2008, 36 (09) :3544-3553

[7] On the links between stock and commodity markets' volatility [J].

Creti, Anna ;

Joets, Marc ;

Mignon, Valerie .

ENERGY ECONOMICS, 2013, 37 :16-28

[8] 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

[9] Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries [J].

Filis, George ;

Degiannakis, Stavros ;

Floros, Christos .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2011, 20 (03) :152-164

[10] Return and volatility transmission between oil prices and oil-exporting and oil-importing countries [J].

Guesmi, Khaled ;

Fattoum, Salma .

ECONOMIC MODELLING, 2014, 38 :305-310

← 1 2 3 →