Your browser doesn't support javascript.
Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic.
Zhu, Pengfei; Tang, Yong; Wei, Yu; Lu, Tuantuan.
  • Zhu P; School of Economics and Management, Fuzhou University, Fuzhou, 350108, China.
  • Tang Y; School of Economics and Management, Fuzhou University, Fuzhou, 350108, China.
  • Wei Y; Fujian Provincial Key Laboratory of Finance and Technology Innovation, Fuzhou, 350108, China.
  • Lu T; School of Finance, Yunnan University of Finance and Economics, Kunming, 650000, China.
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.
Keywords

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

Similar

MEDLINE

...
LILACS

LIS


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