Applied Economics,
Год журнала:
2024,
Номер
unknown, С. 1 - 14
Опубликована: Июнь 18, 2024
This
study
identifies
the
regime
changes
and
investigates
extreme
risk
spillovers
of
China's
first
international
crude
oil
futures
(INECOFs).
The
novelty
this
is
that
a
non-linear
process
incorporated
to
examine
structural
breaks
INECOFs
capture
movements
risk.
To
facilitate
traders
global
financial
investors
hedge
against
risk,
between
market
are
investigated.
We
find
that:
(1)
two-regime
GJRGARCH-SGED
model
can
identify
generate
more
accurate
measures;
(2)
probability
in
tranquil
86.01%
agitated
13.99%;
(3)
plays
modest
role
spillover
network,
while
benchmark
an
important
role;
(4)
upside
receiver
downside
transmitter.
make
attempt
volatility
spillovers.
Journal of commodity markets,
Год журнала:
2024,
Номер
34, С. 100404 - 100404
Опубликована: Апрель 21, 2024
This
study
explores
the
connectedness
between
major
oil-producing
and
consuming
countries'
stock
markets
(United
States,
China,
Russia,
India)
different
oil
shocks
categorized
as
demand,
supply,
risk
shocks,
following
Ready's
(2018)
framework.
Employing
a
quantile-based
approach
quantile
cross-spectral
dependence,
our
analysis
spans
from
July
02,
2007
to
May
31,
2023,
encompassing
diverse
market
conditions
events.
These
methodologies
help
identify
interdependence
patterns
in
extreme
scenarios
at
time
intervals.
Key
findings
show
variations
how
these
respond
depending
on
quantiles.
Demand-related
have
most
significant
spillover
effects
United
India,
while
risk-related
dominate
transmitters
of
India
median
Market
interconnectedness
strengthens
during
conditions,
reflecting
historical
Additionally,
bearish
offer
diversification
opportunities
countries
crude
oil.
emphasizes
need
for
tailored
investment
strategies,
monitoring
global
demand
trends,
dynamic
portfolio
management,
inclusion
portfolios,
proactive
responses
players
geopolitical
insights
benefit
investors
policymakers
seeking
optimize
strategies
interconnected
financial
landscape.
