Journal ArticleDOI
Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States
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In this article, the authors used a new spillover directional measure and asymmetric spillover measures to investigate the dynamic asymmetric volatility spillover between oil and stock markets during the period of 2007 to 2016.About:
This article is published in Energy Economics.The article was published on 2019-05-01. It has received 141 citations till now. The article focuses on the topics: Spillover effect & Volatility (finance).read more
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Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19.
TL;DR: Positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets are found, however, this result is only found for the narrow portion of the authors' sample surrounding the negative WTI event.
Journal ArticleDOI
Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method
Xu Gong,Yun Liu,Xiong Wang +2 more
TL;DR: In this paper, the authors construct a time-varying spillover method by combining the TVP-VAR-SV model and the spillover methods of Diebold and Yilmaz (2009, 2012, 2014).
Journal ArticleDOI
Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets
TL;DR: In this article, the authors examined the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China and found that the bad return spillover dominated the good return spilloffs.
Journal ArticleDOI
Asymmetric volatility spillover among Chinese sectors during COVID-19
TL;DR: In this article, the authors examined the asymmetric volatility spillover among Chinese stock market sectors during the COVID-19 pandemic using 1-min data from January 2, 2019 to September 30, 2020.
Journal ArticleDOI
Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market
Feng He,Ziwei Wang,Libo Yin +2 more
TL;DR: In this paper, the authors studied the asymmetric spillover effect of important economic policy uncertainty (EPU) on the S&P500 index and found that bad volatility reacts more strongly to shocks in EPU following the debt crisis and trade negotiations.
References
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Journal ArticleDOI
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
Journal ArticleDOI
Generalized Impulse Response Analysis in Linear Multivariate Models
H.Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This paper proposed a generalized impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models, which does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR.
Journal ArticleDOI
Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
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Impulse response analysis in nonlinear multivariate models
TL;DR: In this paper, the authors present a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models and demonstrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
Journal ArticleDOI
Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
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