Linkages between global crude oil market volatility and financial market by complexity synchronization

Yani Xing () and Jun Wang
Additional contact information
Yani Xing: Beijing Jiaotong University
Jun Wang: Beijing Jiaotong University

Empirical Economics, 2020, vol. 59, issue 5, No 14, 2405-2421

Abstract: Abstract In this paper, we investigate the linkages between global crude oil market volatilities and financial markets and the degree of synchrony of crude oil markets and stock markets. A nonlinear cross-analysis of bivariate data method called CRP is applied to study the probability distribution of occurrence of similar states and the time span of occurrence of synchronization dynamics for crude oil return series and stock return series. Further, a new composite multiscale complexity invariance distance is introduced to measure the similarity of complexity between crude oil markets and stock markets. The results of this study show that there is a synchronization in the crude oil markets and stock markets, and those two systems have similar complexity from composite multiscale perspective.

Keywords: Crude oil market; Financial market; Cross-recurrence; Time span of occurrence; Composite multiscale complexity invariance; Synchronization (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-019-01762-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:59:y:2020:i:5:d:10.1007_s00181-019-01762-w

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-019-01762-w

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().