Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis

Zaghum Umar, Francisco Jareño () and Ana Escribano

The European Journal of Finance, 2021, vol. 27, issue 9, 880-896

Abstract: This paper explores the static and dynamic connectedness between oil price shocks (risk, demand and supply shocks) and Spanish sector equity indices from January-2000 to July-2019. We document sizable system-wide connectedness between the variables under study. Among the oil shocks, demand and risk shocks are the main transmitter (receiver) of shocks to (from) the system and are overall net receiver of shocks from the system. Among the equity indices, Industrials, Financials, Utilities and Telecommunications as the major net transmitters whereas; Consumer Goods, Technology, Retail and Telecommunications are the main net receivers. The dynamic connectedness changes over time and between sectors. We document important differences over time and between sectors, mainly during the recent global financial crisis and the European sovereign debt crisis. Overall, Financials, Telecommunications, Industrials and Utilities as the most influential sectors.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:27:y:2021:i:9:p:880-896

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DOI: 10.1080/1351847X.2020.1854809

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