A model-free test for contagion between crude oil and stock markets

Zhiyuan Pan, Xu Zheng and Yuting Gong

Economics Letters, 2015, vol. 130, issue C, 1-4

Abstract: This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.

Keywords: Contagion; Model-free test; Crude oil market; Stock market (search for similar items in EconPapers)
JEL-codes: C12 G1 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:130:y:2015:i:c:p:1-4

DOI: 10.1016/j.econlet.2015.02.023

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