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

Imran Yousaf and Arshad Hassan

Finance Research Letters, 2019, vol. 31, issue C

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 full sample and the US financial crisis. Lastly, less oil assets are required to minimize portfolio risk in the Chinese crisis than in the full sample or US crisis.

Keywords: Return spillover; Volatility spillover; Oil markets; Stock markets; Chinese stock market crash; Oil-stock portfolio (search for similar items in EconPapers)
JEL-codes: F3 G1 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231930683X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s154461231930683x

DOI: 10.1016/j.frl.2019.08.023

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().