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Brent Crude
About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.
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TL;DR: Wang et al. as mentioned in this paper examined the relationship between Chinese stock market and commodities markets of crude oil and gold, which suggests that the decisions for different time and frequency should consider the corresponding benchmark information.
Abstract: The nonlinear relationships among variables caused by the hidden frequency information complicate the time series analysis. To shed more light on this nonlinear issue, we examine their relationships in joint time–frequency domain with multivariate framework, and the analyses in the time domain and frequency domain serve as comparisons. The daily Brent oil prices, London gold fixing price and Shanghai Composite index from January 1991 to September 2014 are adopted as example. First, they have long-term cointegration relationship in time domain from holistic perspective. Second, the Granger causality tests in different frequency bands are heterogeneous. Finally, the comparison between results from wavelet coherence and multiple wavelet coherence in the joint time–frequency domain indicates that in the high (1–14 days) and medium frequency (14–128 days) bands, the combination of Brent and gold prices has stronger correlation with the stock. In the low frequency band (256–512 days), year 2003 is the structure broken point before which Brent and oil are ideal choice for hedging the risk of the stock market. Thus, this paper offers more details between the Chinese stock market and the commodities markets of crude oil and gold, which suggests that the decisions for different time and frequencies should consider the corresponding benchmark information.
62 citations
TL;DR: Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002-2013 as mentioned in this paper, while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity.
Abstract: Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002-2013. This is demonstrated while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity. Sentiment indices are developed for WTI and Brent crude oils using a suite of financial proxies similar to those used in equity research where the influence of sentiment has already been established. Given the novel nature of this study, multiple hypothesis testing techniques are used to ensure that these conclusions are statistically robust.
60 citations
TL;DR: In this paper, the authors investigated the multiscale dynamic linkages between crude oil price and the stock market in China at the sector level and found that there are bidirectional Granger causality relationships between most of the sector stock indices and the crude oil prices in the short, medium and long terms, except for those in the health, utility and consumption sectors.
Abstract: The aim of this research is to investigate the multiscale dynamic linkages between crude oil price and the stock market in China at the sector level. First, the Haar a trous wavelet transform is implemented to extract multiscale information from the original time series. Furthermore, we incorporate the vector autoregression model to estimate the dynamic relationship pairing the Brent oil price and each sector stock index at each scale. There is a strong evidence showing that there are bidirectional Granger causality relationships between most of the sector stock indices and the crude oil price in the short, medium and long terms, except for those in the health, utility and consumption sectors. In fact, the impacts of the crude oil price shocks vary for different sectors over different time horizons. More precisely, the energy, information, material and telecommunication sector stock indices respond to crude oil price shocks negatively in the short run and positively in the medium and long runs, terms whereas the finance sector responds positively over all three time horizons. Moreover, the Brent oil price shocks have a stronger influence on the stock indices of sectors other than the health, optional and utility sectors in the medium and long terms than in the short term. The results obtained suggest implication of this paper as that the investment and policymaking decisions made during different time horizons should be based on the information gathered from each corresponding time scale.
59 citations
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TL;DR: In this article, the authors proposed modification of auto-regressive integrated moving average model for finding the parameters of estimation and forecasts using exponential smoothing, which showed an improvement in the accuracy of the predicted values, while the emissions occurred near the end of the time series.
Abstract: The paper proposes modification of auto-regressive integrated moving average model for finding the parameters of estimation and forecasts using exponential smoothing. The study use data Brent crude oil price and gas prices in the period from January 1991 to December 2016. The result of the study showed an improvement in the accuracy of the predicted values, while the emissions occurred near the end of the time series. It has minimal or no effect on other emissions of this data series. The study suggests that investors can predict prices analyzing the possible risks in oil futures markets.
58 citations
TL;DR: Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002-2013 as discussed by the authors, while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity.
58 citations