Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches

Walid Mensi, Mobeen Ur Rehman, Khamis Hamed Al-Yahyaee and Xuan Vinh Vo

Resources Policy, 2023, vol. 80, issue C

Abstract: This paper examines the frequency dynamic co-movements between crude oil prices and stock market returns of three developed economies (Canada, Japan, and the USA) and the emerging BRICS (Brazil, Russia, India, China, and South Africa) economies by considering four global factors (U.S. treasury bills, S&P volatility index, gold price, and U.S. EPU index). Using bivariate and multivariate wavelet approaches, the results show evidence of time-frequency co-movements between the considered markets at medium and low frequencies. Besides, the results reveal that the co-movement is intensified during global financial crisis and COVID-19 pandemic periods, confirming recoupling hypothesis. The risk analysis reveals dependence and persistence of co-movements, and aggravation of portfolio risk in the BRICS economies and across markets during bouts of afflictions. These findings should encourage the relevant national and transnational policy makers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.

Keywords: Stock markets; Oil prices; Global factors; Multivariate wavelet; CVaR (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006043

DOI: 10.1016/j.resourpol.2022.103161

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