Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash

Volume: 31
Published: Dec 1, 2019
Abstract
This study examines returns and volatility spillover between crude oil and emerging Asian stock markets during the Chinese stock market crash of 2015. The empirical findings reveal a positive causal effect from crude oil price changes to the majority stock markets. Volatility is transmitted from oil to the Indian and Korean stock markets. The weights of oil assets in oil-stock portfolios decrease during the Chinese market crash compared to the...
Paper Details
Title
Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash
Published Date
Dec 1, 2019
Volume
31
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