 Correlations between oil and stock markets: A wavelet-based approachBelén Martín-Barragán, Sofia Ramos and Helena Veiga Economic Modelling, 2015, vol. 50, issue C, 212-227 Abstract: In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks and stock market crashes on correlations between stock and oil markets. We test changes in correlations for different time scales with non-overlapping confidence intervals based on estimated wavelet correlations. Our results indicate that correlation between oil and stock markets tends to be stable in non-shock periods, around zero, but this changes during oil and financial shocks both at higher and lower frequencies. We find evidence of contagion, in particular during the 2008 and 2011 stock market falls. At low frequencies, the number of correlation breakdowns during oil shocks and stock market crashes is higher and they can be interpreted as shifts in market co-movements. Keywords: Contagion; Correlations; Financial shocks; Interdependence; International financial markets; Oil shocks; Stock market returns; Wavelets (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:ecmode:v:50:y:2015:i:c:p:212-227 DOI: 10.1016/j.econmod.2015.06.010 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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