Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?

This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified versi...

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Detalhes bibliográficos
Autores: Jammazi, Rania, Ferrer Lapeña, Román, Jareño Cebrián, Francisco, Shahzad, Syed Jawad Hussain
Formato: artículo
Fecha de publicación:2017
País:España
Recursos:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/14611
Acesso em linha:https://doi.org/10.1016/j.iref.2017.03.007
http://hdl.handle.net/10578/14611
Access Level:acceso abierto
Palavra-chave:Oil price
Stock returns
Wavelet analysis
Granger causality
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spelling Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?Jammazi, RaniaFerrer Lapeña, RománJareño Cebrián, FranciscoShahzad, Syed Jawad HussainOil priceStock returnsWavelet analysisGranger causalityThis paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu et al. (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence provides useful insights to participants in oil and stock markets and to policymakersElsevier201720172017info:eu-repo/semantics/articleapplication/pdftext/plainapplication/pdfhttps://doi.org/10.1016/j.iref.2017.03.007http://hdl.handle.net/10578/14611reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésinfo:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/146112026-05-27T07:36:41Z
dc.title.none.fl_str_mv Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
title Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
spellingShingle Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
Jammazi, Rania
Oil price
Stock returns
Wavelet analysis
Granger causality
title_short Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
title_full Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
title_fullStr Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
title_full_unstemmed Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
title_sort Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
dc.creator.none.fl_str_mv Jammazi, Rania
Ferrer Lapeña, Román
Jareño Cebrián, Francisco
Shahzad, Syed Jawad Hussain
author Jammazi, Rania
author_facet Jammazi, Rania
Ferrer Lapeña, Román
Jareño Cebrián, Francisco
Shahzad, Syed Jawad Hussain
author_role author
author2 Ferrer Lapeña, Román
Jareño Cebrián, Francisco
Shahzad, Syed Jawad Hussain
author2_role author
author
author
dc.subject.none.fl_str_mv Oil price
Stock returns
Wavelet analysis
Granger causality
topic Oil price
Stock returns
Wavelet analysis
Granger causality
description This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu et al. (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence provides useful insights to participants in oil and stock markets and to policymakers
publishDate 2017
dc.date.none.fl_str_mv 2017
2017
2017
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.iref.2017.03.007
http://hdl.handle.net/10578/14611
url https://doi.org/10.1016/j.iref.2017.03.007
http://hdl.handle.net/10578/14611
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
text/plain
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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