EconPapers    
Economics at your fingertips  
 

Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries

Huiming Zhu, Xi Huang, Fangyu Ye and Shuang Li

The North American Journal of Economics and Finance, 2024, vol. 70, issue C

Abstract: This study investigates the lead-lag nonlinear dependence relationship between crude oil and stock markets by employing a joint analysis of both frequency and cross-quantile perspectives. We propose a novel rolling window cross-quantile approach to capture the dynamic nonlinear dependencies across market conditions. Our empirical findings reveal that BRICS countries primarily receive net spillovers, while G7 countries, with the exception of Japan, act as net transmitters of spillovers. Additionally, with an extended time span, crude oil transitions from being a risk receiver to becoming a risk transmitter. Furthermore, the stock market returns of twelve countries are extremely vulnerable to oil price shocks under extreme market conditions, and the dependence between the crude oil and Russian stock returns is the highest. Finally, significant crisis events can briefly amplify the magnitude of risk spillovers. Overall, these discoveries furnish valuable insights for policymakers and investors seeking to refine their policies and investment strategies to reduce uncertainties in stock returns.

Keywords: Frequency spillover effects; Cross-quantile dependence; Crude oil; Stock market returns (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940823001857
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:ecofin:v:70:y:2024:i:c:s1062940823001857

DOI: 10.1016/j.najef.2023.102062

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001857