 Do market conditions interfere with the transmission of uncertainty from oil market to stock market? Evidence from a modified quantile-on-quantile approachQichang Xie and Guoqiang Tang Energy Economics, 2022, vol. 114, issue C Abstract: This paper explores the asymmetric and dynamic effects of oil market uncertainty on stock market uncertainty in BRICS countries. To highlight this issue, we propose a modified quantile-on-quantile method by remedying two significant deficiencies of the current quantile-on-quantile approach that has been widely deployed recently. The results show that the influences of oil market uncertainty on BRICS equity market uncertainty are overall positive and asymmetric across various market circumstances. When oil and stock markets are both in bear market conditions, the impacts of uncertainty regarding the oil market on stock markets are more pronounced. Moreover, this asymmetric relationship is significantly heterogeneous across BRICS countries. Dynamic analysis confirms that oil market uncertainty has a time-varying shock on stock market uncertainty. Our study has momentous implications for investors and policymakers attempting to guard against uncertainty in oil and stock markets. Keywords: Asymmetric and dynamic effects; BRICS; Oil price uncertainty; Quantile-on-quantile; Stock market volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003929 DOI: 10.1016/j.eneco.2022.106250 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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