Extreme time-frequency connectedness between energy sector markets and financial markets DOI
Mohammad Alomari, Houssem Eddine Belghouthi, Walid Mensi

et al.

Economic Analysis and Policy, Journal Year: 2024, Volume and Issue: unknown

Published: Sept. 1, 2024

Language: Английский

Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters DOI
Muhammad Shahbaz, Umaid A. Sheikh, Mosab I. Tabash

et al.

Energy Economics, Journal Year: 2024, Volume and Issue: 136, P. 107732 - 107732

Published: June 26, 2024

Language: Английский

Citations

8
Geopolitical risk and vulnerability of energy markets DOI
Zhenhua Liu, Yushu Wang, X. Yuan

et al.

Energy Economics, Journal Year: 2024, Volume and Issue: unknown, P. 108055 - 108055

Published: Nov. 1, 2024

Language: Английский

Citations

4
Music stocks and music tokens: Extreme connectedness and portfolio applications DOI Creative Commons
Buse Ustaoglu, Erkan USTAOĞLU

International Review of Economics & Finance, Journal Year: 2025, Volume and Issue: unknown, P. 103872 - 103872

Published: Jan. 1, 2025

Language: Английский

Citations

0
Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States DOI Creative Commons
Oğuzhan Özçelebi, José Pérez-Montiel, Sang Hoon Kang

et al.

Financial Innovation, Journal Year: 2025, Volume and Issue: 11(1)

Published: Jan. 21, 2025

Abstract This study assessed the connectedness between oil shocks and industry stock indexes in United States (US). We consider normal extreme conditions across different frequency horizons, quantile time–frequency method is used to determine tail risk contagion under horizons. Our results reveal that short-term significantly exceeds long-term connectedness. also indicate lower upper quantiles greater than at conditional mean. Importantly, shock biggest net transmitter of US sectors conditions, highlighting cause substantial variations sector returns short, medium, long term. Finally, QAR(3) model demonstrates significant impact on during conditions. Therefore, our underscores role asymmetry reaction oil-related shocks, we suggest policies aimed overcoming adverse effects markets promoting financial stability should incorporate asymmetric features.

Language: Английский

Citations

0
Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach DOI
Purba Bhattacherjee, Sibanjan Mishra, Sang Hoon Kang

et al.

The Quarterly Review of Economics and Finance, Journal Year: 2025, Volume and Issue: 100, P. 101974 - 101974

Published: Feb. 1, 2025

Language: Английский

Citations

0
Extreme return connectedness across environmental, social and governance indices and Brent crude oil markets DOI
Purba Bhattacherjee, Sibanjan Mishra, Sang Hoon Kang

et al.

Journal of Financial Economic Policy, Journal Year: 2025, Volume and Issue: unknown

Published: March 7, 2025

Purpose This paper aims to examine the extreme return spillover between crude oil and ESG stocks for 10 developed 11 emerging economies from 4 January 2016 3 October 2024. Design/methodology/approach The extends generalized VAR methodology proposed by Diebold Yilmaz (2012) (DY12) quantify dynamics of spillovers across indices oil. authors use quantile connectedness approach Ando et al. (2022) explore with various quantiles (q), such as bearish, normal bullish market conditions. Findings critical findings are follows: firstly, study reports at tails, especially during COVID-19, resulting in asymmetry tail dependency within network. Secondly, dependence is maximum COVID-19. Thirdly, acts a major recipient, but degree receiving shocks innovations intensifies Lastly, network analysis depicts complex bearish phase mainly markets. Originality/value Unlike previous studies which uses vector autoregression (VAR) models, cointegration methods, wavelet analysis, cross-correlation techniques, copula approaches GARCH models fails capture under conditions derived forecast-error variance decomposition account tail-specific dynamics, this offers more comprehensive understanding effects using median-based (QVAR) indices, tested

Language: Английский

Citations

0
Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets: Evidence from Asian Pacific, Canada, Mexico, and US countries DOI
Walid Mensi,

Rim El Khoury,

Sami Al Kharusi

et al.

International Review of Economics & Finance, Journal Year: 2024, Volume and Issue: 96, P. 103533 - 103533

Published: Aug. 23, 2024

Language: Английский

Citations

2
COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications: Evidence from China and US economies DOI
Walid Mensi, Khamis Hamed Al‐Yahyaee, Xuan Vinh Vo

et al.

International Economics, Journal Year: 2024, Volume and Issue: 180, P. 100554 - 100554

Published: Oct. 2, 2024

Language: Английский

Citations

2
Extreme time-frequency connectedness between energy sector markets and financial markets DOI
Mohammad Alomari, Houssem Eddine Belghouthi, Walid Mensi

et al.

Economic Analysis and Policy, Journal Year: 2024, Volume and Issue: unknown

Published: Sept. 1, 2024

Language: Английский

Citations

1