Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash

Kamel Si Mohammed, Marco Tedeschi (), Sabrine Mallek, Małgorzata Tarczyńska-Łuniewska and Anqi Zhang

Resources Policy, 2023, vol. 85, issue PA

Abstract: This study aims to investigate the dynamic relationship between oil prices and stock markets in the G5+ countries using Parkinson's proximal realized volatility. We separate positive and negative semi-variance to compute asymmetric aggregate static spillovers according to the Diebold and Yilmaz (DY) approach. Moreover, we use a Quantile VAR to investigate the behavior of series in different quantiles corresponding to different market scenarios. Consistently with the literature concerns, we use a daily sample of market indices prices with the Brent oil price from June 1, 2017, to July 2, 2022. We found an asymmetric linkage between oil prices and the stock market, which has significant implications for portfolio hedging strategies. Specifically, our research indicates that the impact of the Russian-Ukrainian conflict on the energy crisis has been significantly higher than that of the COVID-19 pandemic, especially in the short term. However, we observe a higher persistence of negative spillovers for COVID-19 compared to those recorded during the Russia-Ukraine war. From a methodological viewpoint, this result enforces the choice of an asymmetric model to investigate the volatility transmission between financial market series. Finally, we found crude oil to emit volatility spillovers in quantiles above 80%. This result emphasizes the instability perceived in crude oil price when general market volatility increase. Quite the opposite, about one-third of oil price shocks, are linked to the national stock exchange uncertainty in low and middle quantiles, underlining the investors' dependency on this commodity. These results have important implications for policymakers and institutional authorities, who must consider the changing macroeconomic environment and reduce dependence on Russian energy.

Keywords: COVID-19; Russia-Ukrainian conflict; Semi variance realized spillover; Novel quantile connectedness; Oil prices; Stock market; VAR (search for similar items in EconPapers)
JEL-codes: G1 G11 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 (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420723005093
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash (2023)
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:jrpoli:v:85:y:2023:i:pa:s0301420723005093

DOI: 10.1016/j.resourpol.2023.103798

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().