Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic.
Energy (Oxf)
; 231: 120949, 2021 Sep 15.
Article
in English
| MEDLINE | ID: covidwho-1233415
ABSTRACT
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 those during the normal period. And there are significant risk spillovers from the US and Chinese stock markets to the oil markets. It is also discovered that the oil markets are greatly influenced by the second board stock markets, also known as the growth enterprise markets, especially during the COVID-19 outbreak. Furthermore, the bidirectional China-oil risk spillovers during the COVID-19 pandemic have rapidly increased. Besides, it is reported that the relationships across oil futures, main board and second board stock markets in the US and China are stable under different TSI levels and extreme events. Finally, the GARCHSK-Mixed Copula-CoVaR-Network outperforms the control groups in terms of marginal distribution and dependence structure. Our study not only offers new method and insight into the oil-stock relationship, but also has economic implications for investors and policymakers.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Prognostic study
/
Randomized controlled trials
Language:
English
Journal:
Energy (Oxf)
Year:
2021
Document Type:
Article
Affiliation country:
J.energy.2021.120949
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