Artikel
Spillover and quantile linkage between oil price shocks and stock returns: New evidence from G7 countries
The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ Rev 99(3):1053-1069, 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns.There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Financial Innovation ; ISSN: 2199-4730 ; Volume: 6 ; Year: 2020 ; Issue: 1 ; Pages: 1-26 ; Heidelberg: Springer
- Classification
-
Management
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
International Financial Markets
- Subject
-
Oil aggregate demand shock
Oil specific demand shock
Oil supply shock
Quantile-on-quantile
Spillover effect
Stock market
- Event
-
Geistige Schöpfung
- (who)
-
Jiang, Yonghong
Tian, Gengyu
Mo, Bin
- Event
-
Veröffentlichung
- (who)
-
Springer
- (where)
-
Heidelberg
- (when)
-
2020
- DOI
-
doi:10.1186/s40854-020-00208-y
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Jiang, Yonghong
- Tian, Gengyu
- Mo, Bin
- Springer
Time of origin
- 2020
Other Objects (12)
Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries
The spillover of inflation among the G7 countries
Quantile risk-return trade-off
Spillover Effects of Studying with Immigrant Students: A Quantile Regression Approach
Stock returns and risk: Evidence from quantile
Stock return autocorrelations revisited: A quantile regression approach
Stock Return Autocorrelations Revisited : A Quantile Regression Approach
Return and volatility spillover effects in agricultural commodity markets
Abnormal returns or mismeasured risk? Network effects and risk spillover in stock returns
G7
On the linkage of momentum and reversal – evidence from the G7 stock markets
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries
The spillover of inflation among the G7 countries
Quantile risk-return trade-off
Spillover Effects of Studying with Immigrant Students: A Quantile Regression Approach
Stock returns and risk: Evidence from quantile
Stock return autocorrelations revisited: A quantile regression approach
Stock Return Autocorrelations Revisited : A Quantile Regression Approach
Return and volatility spillover effects in agricultural commodity markets
Abnormal returns or mismeasured risk? Network effects and risk spillover in stock returns
G7
On the linkage of momentum and reversal – evidence from the G7 stock markets
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries
The spillover of inflation among the G7 countries
Quantile risk-return trade-off
Spillover Effects of Studying with Immigrant Students: A Quantile Regression Approach
Stock returns and risk: Evidence from quantile
Stock return autocorrelations revisited: A quantile regression approach
Stock Return Autocorrelations Revisited : A Quantile Regression Approach
Return and volatility spillover effects in agricultural commodity markets
Abnormal returns or mismeasured risk? Network effects and risk spillover in stock returns
G7
On the linkage of momentum and reversal – evidence from the G7 stock markets