Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets

2017 ◽  
Vol 152 ◽  
pp. 351-359 ◽  
Author(s):  
Fengbin Lu ◽  
Han Qiao ◽  
Shouyang Wang ◽  
Kin Keung Lai ◽  
Yuze Li
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Time Varying ◽  
Vector Autoregressions ◽  
Varying Coefficient ◽  
Dynamic Correlation ◽  
Model Based ◽  
Coefficient Vector

scholarly journals Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Energies ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 294 ◽  
Author(s):  
Xiaojing Cai ◽  
Shigeyuki Hamori ◽  
Lu Yang ◽  
Shuairu Tian
Keyword(s):  
Risk Management ◽  
Crude Oil ◽  
Stock Markets ◽  
East Asian ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Time Varying ◽  
Risk Hedging ◽  
Long Run ◽  
East Asian Stock Markets

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

scholarly journals Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?

2017 ◽  
Vol 49 ◽  
pp. 453-483 ◽  
Author(s):  
Rania Jammazi ◽  
Román Ferrer ◽  
Francisco Jareño ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Time Varying

scholarly journals Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets

Energies ◽  
2020 ◽  
Vol 13 (18) ◽  
pp. 4641
Author(s):  
Jingran Zhu ◽  
Qinghua Song ◽  
Dalia Streimikiene
Keyword(s):  
Crude Oil ◽  
Time Scale ◽  
Stock Markets ◽  
Spillover Effect ◽  
Oil Price ◽  
Time Varying ◽  
Price Fluctuation ◽  
The Impact ◽  
Oil Price Fluctuation

With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s stock markets increasingly attracts the attention of the public. In order to explore the impact of international oil price fluctuation on China’s stock markets and the time-varying spillover differences of industry sectors, this study proposes three research hypotheses and constructs a multi-time scale analysis framework based on wavelet analysis and a time-varying t-Copula model. In this paper, we use the Shanghai Composite Index as the representative of a general trend of the stock market, and we use the stock index of the China Securities Industry as the counterpart of industrial sectors. Based on the data from 5 January 2005 to 31 May 2020, this paper measures and analyzes the spillover effect of international oil price fluctuation on China’s stock markets, under different volatility periods. The results show that, firstly, the spillover effect of international oil price fluctuation on the Chinese stock markets is different. In the short and medium volatility period, the changes in international oil price are ahead of the changes in the Chinese stock markets, while the latter is ahead of the former under long-term fluctuations. Secondly, the spillover effect of international oil price fluctuation on China’s industry stock indexes is persistent. As the time scale increases, the tail dependency will increase. Finally, the impact of risk events aggravates the volatility of the stock markets in the short-term, while the mid- to long-term impact mainly affects the volatility trend. Investment risk control can make overall arrangement on the basis of the characteristics of oil price impact under different fluctuation stages.

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