Cargando…

Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic

This paper investigates the multidimensional risk spillovers among crude oil, the US and Chinese stock markets during the COVID-19 epidemic through a GARCHSK-Mixed Copula-CoVaR-Network method. Firstly, we find that during the COVID-19 period, the oil-stock risk spillovers are obviously stronger than...

Descripción completa

Detalles Bibliográficos
Autores principales:	Zhu, Pengfei, Tang, Yong, Wei, Yu, Lu, Tuantuan
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Elsevier Ltd. 2021
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9757975/ https://www.ncbi.nlm.nih.gov/pubmed/36569992 http://dx.doi.org/10.1016/j.energy.2021.120949

Ejemplares similares

Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic
por: Vuong, Giang Thi Huong, et al.
Publicado: (2022)

Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak
por: Abuzayed, Bana, et al.
Publicado: (2021)

The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test
por: Lu, Xunfa, et al.
Publicado: (2021)

Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany
por: Zhang, Wenting, et al.
Publicado: (2021)

Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses
por: Su, Xianfang, et al.
Publicado: (2020)

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets
por: Mensi, Walid, et al.
Publicado: (2023)

Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets?
por: Hussain, Muntazir, et al.
Publicado: (2022)

Extreme risk spillover between chinese and global crude oil futures
por: Yang, Yuying, et al.
Publicado: (2021)

The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model
por: Hashmi, Shabir Mohsin, et al.
Publicado: (2022)

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method
por: Zhu, Pengfei, et al.
Publicado: (2022)

COVID-19 and uncertainty spillovers in Indian stock market
por: Guru, Biplab Kumar, et al.
Publicado: (2020)

Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices
por: Li, Xin
Publicado: (2022)

COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
por: Mensi, Walid, et al.
Publicado: (2022)

Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors
por: Hanif, Waqas, et al.
Publicado: (2021)

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries
por: Mensi, Walid, et al.
Publicado: (2023)

COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets
por: Li, Yanshuang, et al.
Publicado: (2023)

Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic
por: Mensi, Walid, et al.
Publicado: (2021)

Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
por: Karanasos, M., et al.
Publicado: (2021)

Oil price shocks, stock market returns, and volatility spillovers: a bibliometric analysis and its implications
por: Bashir, Muhammad Farhan
Publicado: (2022)

The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis
por: Fu, Jiasha, et al.
Publicado: (2021)

Oil and gold return spillover and stock market elasticity during COVID-19 pandemic: A comparative study between the stock markets of oil-exporting countries and oil-importing countries in the Middle East
por: Bani-Khalaf, Omar, et al.
Publicado: (2022)

Liquidity Spillover in International Stock Markets through Distinct Time Scales
por: Righi, Marcelo Brutti, et al.
Publicado: (2014)

The impact of pandemic on dynamic volatility spillover network of international stock markets
por: Lan, Tingting, et al.
Publicado: (2023)

Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks
por: Zeng, Hongjun, et al.
Publicado: (2022)

Determining the COVID-19 effects on spillover between oil market and stock exchange: a global perspective analysis
por: Yan, Ran, et al.
Publicado: (2022)

The Analysis of Causality and Risk Spillover between Crude Oil and China’s Agricultural Futures
por: Jiang, Wei, et al.
Publicado: (2022)

Research on the dynamic spillover of stock markets under COVID-19—Taking the stock markets of China, Japan, and South Korea as an example
por: Zhou, Baicheng, et al.
Publicado: (2022)

Dynamic Multiscale Information Spillover among Crude Oil Time Series
por: An, Sufang
Publicado: (2022)

Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak
por: Hung, Ngo Thai, et al.
Publicado: (2021)

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19
por: Zhang, Hua, et al.
Publicado: (2021)

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model
por: Mamipour, Siab, et al.
Publicado: (2022)

Dependences and risk spillover effects between Bitcoin, crude oil and other traditional financial markets during the COVID-19 outbreak
por: Zha, Rui, et al.
Publicado: (2023)

Assessing stock market contagion and complex dynamic risk spillovers during COVID-19 pandemic
por: Lu, Yunfan, et al.
Publicado: (2023)

Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index
por: Lim, Seo-Yeon, et al.
Publicado: (2022)

Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains
por: Zhang, Hongwei, et al.
Publicado: (2022)

Covid-19 pandemic and spillover effects in stock markets: A financial network approach
por: Samitas, Aristeidis, et al.
Publicado: (2022)

The time-varying spillover effect of China’s stock market during the COVID-19 pandemic
por: Liu, Xueyong, et al.
Publicado: (2022)

Risk Perceptions on Hurricanes: Evidence from the U.S. Stock Market
por: Feria-Domínguez, José Manuel, et al.
Publicado: (2017)

The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
por: Zaremba, Adam, et al.
Publicado: (2021)

Stock market reaction to US interest rate hike: evidence from an emerging market
por: Kim, Jeongsim
Publicado: (2023)

Cannot write session to /tmp/vufind_sessions/sess_m26r2an1rjvdoi78vjivrvbgl8