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Published on Jun 1, 2019in Energy Economics 4.15
Yan‐ran Ma1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences),
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics)
+ 1 AuthorsJiaofeng Pan1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences)
Abstract 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 Dieblod and Yilmaz (2014). Our empirical results demonstrate the important role of in...
Published on May 1, 2019in Energy Economics 4.15
Scott M. R. Mahadeo (Keele University), Reinhold Heinlein2
Estimated H-index: 2
(Keele University),
Gabriella Legrenzi7
Estimated H-index: 7
(Keele University)
We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm and crisi...
Published on May 1, 2019in Energy 5.54
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Ali M. Kutan33
Estimated H-index: 33
(SIUE: Southern Illinois University Edwardsville)
Abstract This study examines the dynamic behavior and spillover effects in global crude oil markets by introducing a connectedness measure based on the vector autoregressive model. Seven major crude oil prices are selected for the analysis on return and volatility connectedness and used to investigate information spillover and their dynamic linkages. Our empirical results suggest that the degree of market integration in global crude oil markets remains high over time although the total connected...
Published on Feb 6, 2019in Journal of Forecasting 0.82
Yan‐ran Ma1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Jiaofeng Pan1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences)
Published on Feb 1, 2019in Finance Research Letters 1.71
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Jianping Li (CAS: Chinese Academy of Sciences), Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences)
Abstract This paper examines information spillover between WTI returns and investor sentiment indices measured by various trader positions using a connectedness approach. Our findings show that sentiment by trader type is highly correlated with WTI returns. Among the different sentiment types, speculator sentiment makes the largest contribution to WTI returns variation over the full sample period. The dynamic results show that the influence of investor sentiment increases significantly when oil ...
Published on Jan 1, 2019in Energy Economics 4.15
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bing-Yue Liu6
Estimated H-index: 6
(Beihang University),
Ying Fan36
Estimated H-index: 36
(Beihang University)
This paper analyses the dynamic dependence between WTI crude oil and the exchange rates of the United States and China, taking structural changes of dependence into account by using six time-varying copula models. Upside and downside conditional values at risk (CoVaRs) are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates. The findings indicate a structural break point of dependence exists between daily or weekly crude oil and the U...
Published on Dec 1, 2018in Finance Research Letters 1.71
Miroslava Zavadska1
Estimated H-index: 1
,
Lucia Morales8
Estimated H-index: 8
,
Joseph Coughlan10
Estimated H-index: 10
(MU: Maynooth University)
Abstract Volatility patterns in Brent crude oil spot and futures prices are examined during four major crises that significantly affected the oil markets: the First Gulf war 1990/91; the Asian Financial crisis 1997/98; the US terrorist attack 2001; and the Global Financial crisis 2008/9. The selected crises arose due to different triggers having diverse implications for oil market participants. The outcomes reveal higher levels of volatility during crises that was directly associated with oil su...
Published on Oct 1, 2018in Energy Economics 4.15
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bing-Yue Liu6
Estimated H-index: 6
(Beihang University)
+ 1 AuthorsSalah Uddin Ghazi18
Estimated H-index: 18
(Linköping University)
Abstract In this paper, we explore the impact of uncertainties on energy prices by measuring four types of Delta Conditional Value-at-Risk (∆CoVaR) using six time-varying copulas. Three different measures of uncertainty (economic policy, financial markets and energy markets) are considered, and the magnitude and asymmetric effects of their influence are investigated. Our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty. The risks o...
Published on Oct 1, 2018in Energy Economics 4.15
Jiawen Luo1
Estimated H-index: 1
(SCUT: South China University of Technology),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences)
Abstract This paper investigates the realised volatility connectedness of US crude oil futures and five China's agricultural commodity futures using connectedness measures and high-frequency data. Time-varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive (HAR) model with the DCC-GARCH model. The results verify the existence of volatility spillover from the US crude oil market to China's agricultural commodity markets, although...
Published on Sep 1, 2018in Energy Economics 4.15
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bouri Elie16
Estimated H-index: 16
(Holy Spirit University of Kaslik)
+ 1 AuthorsSyed Jawad Hussain Shahzad13
Estimated H-index: 13
Unlike previous studies, we employ a relatively newer modelling technique — a time-varying copula with a switching dependence — to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way. Because the dependence may switch between positive and negative correlation regimes over time, a dependence-switching copula more appropriately and realistically captures a dependence structure than a single copula regime. Our findings indicate that the ...
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