Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic

Walid Mensi, Waqas Hanif, Xuan Vinh Vo, Ki-Hong Choi and Seong-Min Yoon

The North American Journal of Economics and Finance, 2023, vol. 67, issue C

Abstract: This paper examines the effects of the COVID-19 outbreak, recent oil price fall, and both global and European financial crises on dependence structure and asymmetric risk spillovers between crude oil and Chinese stock sectors. Using time-varying symmetric and asymmetric copula functions and the conditional Value at Risk measure, we provide evidence of positive tail dependence in most sectors using copula and conditional Value-at-Risk techniques. We can see the average dependence between oil and industries during the oil crisis. Moreover, we find strong evidence of bidirectional risk spillovers for all oil-sector pairs. The intensity of risk spillovers from oil to all stock sectors varies across sectors. The risk spillovers from sectors to oil are substantially larger than those from oil to sectors during COVID-19. Furthermore, the return spillover is time varying and sensitive to external shocks. The spillover strengths are higher during COVID-19 than financial and oil crises. Finally, oil do not exhibit neither hedge nor safe-haven characteristics irrespective of crisis periods.

Keywords: Chinese sector stocks; Crude oil; Spillovers; Crisis; Safe haven (search for similar items in EconPapers)
JEL-codes: C58 G14 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000487

DOI: 10.1016/j.najef.2023.101925

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