 The interconnectedness between crude oil prices and stock returns in G20 countriesChinmaya Behera and Badri Rath Resources Policy, 2024, vol. 91, issue C Abstract: This study examines the link between crude oil prices and stock returns in G20 countries. Using the dynamic connectedness approach and a dataset from March 24, 2014 to December 15, 2023, we found volatility transmission between stock returns and crude oil prices. Specifically, we observed that an average of 51.22% of shock on one asset spills over to all other assets. Additionally, our study identified the CAC 40 (France), FTSE 100 (United Kingdom), TMX (Canada), and IGBM (Spain) as major transmitters of shocks. For an in-depth understanding of the effects of crude oil prices on the stock market, we divided the countries into oil-exporting and oil-importing nations. We discovered that shock transmission in oil-exporting countries is negligible, while oil-importing countries experience significant shock transmission. Our findings have important implications for investors and policymakers, as they can maximize returns for the former and help the latter in stabilizing volatile markets. Keywords: Volatility spillover; Dynamic connectedness; Stock returns; G20; Crude oil (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724003179 DOI: 10.1016/j.resourpol.2024.104950 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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