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Oil shocks and stock markets revisited: Measuring connectedness from a global perspective

Zhang, Dayong

Energy economics, 2017-02, Vol.62, p.323-333 [Periódico revisado por pares]

Kidlington: Elsevier B.V

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  • Título:
    Oil shocks and stock markets revisited: Measuring connectedness from a global perspective
  • Autor: Zhang, Dayong
  • Assuntos: Connectedness ; Crude oil prices ; Donations ; Empirical analysis ; Energy economics ; Globalization ; Granger causality ; Information systems ; Markets ; Multivariate analysis ; Oil ; Oil shocks ; Petroleum ; Prices ; Securities markets ; Stock exchanges ; Stock markets ; Studies ; Variance decomposition
  • É parte de: Energy economics, 2017-02, Vol.62, p.323-333
  • Notas: ObjectType-Article-1
    SourceType-Scholarly Journals-1
    ObjectType-Feature-2
    content type line 23
  • Descrição: This paper contributes to the large volume of empirical studies on the relationship between oil shocks and stock markets from a new systemic perspective. The method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, 2014) is adopted to study the relationship between oil shocks and returns at six major stock markets around the world. It is shown that the contribution of oil shocks to the world financial system is limited. Oil price changes, however, can be explained by information on the financial system. Furthermore, a rolling windows analysis finds that oil shocks can occasionally contribute significantly to stock markets, and it is also proved that only large shocks matter. •This paper investigates the oil–stock relationship from a global perspective.•A systemic method of measuring connectedness is used.•The contribution of oil shock to the stock market is found to be limited.•Rolling-windows estimation shows that large oil shocks matter.
  • Editor: Kidlington: Elsevier B.V
  • Idioma: Inglês
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