Dynamic relations between oil and stock market returns: A multi-country study |
| |
| Institution: | 1. Department of Economics, Dalhousie University, PO Box 15000, Halifax, NS B3H 4R2, Canada;2. Department of Economics, Sobey School of Business, Saint Mary''s University, 923 Robie Street, Halifax, NS B3H 3C3, Canada;3. School of Business, Renmin University of China, 59 Zhongguancun St., Beijing 100872, China;4. Peter B. Gustavson School of Business, University of Victoria, PO Box 1700 STN CSC, Victoria, BC, V8W 2Y2, Canada;1. Riskcenter- IREA and Department of Econometrics, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain;2. Department of Econometrics, University of Barcelona, Barcelona, Spain;3. Faculty of Economics and Business Studies, Open University of Catalonia, Spain |
| |
| Abstract: | We study the relation between the BRENT and seventeen stock market indexes of important oil-dependent economies. We focus on connectedness between these markets and characterize the dynamics of transmission and reception. We use LASSO methods to shrink, select, and estimate the high dimensional network linking these markets between August, 1999 and March, 2018. This methodological innovation allows the inclusion of a significantly larger number of markets in the network, providing finer results regarding connectedness in the oil-stock market nexus. We show that transmission runs mainly from stock markets to the BRENT. Connectedness varies considerably over time, reaching peaks during times of financial distress. Dynamic predictive causality tests show evidence of time-varying bidirectional causality. Causality from stock markets to the BRENT is detected mostly for the last part of the sample period. This finding indicates that the impact of stock market developments on oil markets is growing over time. |
| |
| Keywords: | Time-varying causality Oil-stock market nexus LASSO methods G01 G12 C22 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
