Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?

Volume: 81, Pages: 536 - 544
Published: Jun 1, 2019
Abstract
null null This paper investigates the inter-connectedness between WTI oil price returns and the returns of listed firms in the US energy sector. Specifically, we focus on the issue of whether firm-level idiosyncratic information matters. A generalised dynamic factor model is used to separate common components from idiosyncratic components in these energy stocks. Systemic connectedness is then estimated following Diebold and Yilmaz (2014). Our...
Paper Details
Title
Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?
Published Date
Jun 1, 2019
Volume
81
Pages
536 - 544
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