Risk transmission between oil price shocks and major equity indices across bull and bear markets over various time horizons

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-05-14 DOI:10.1016/j.najef.2025.102459

Walid Mensi , Mariya Gubareva , Tamara Teplova

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Abstract

Interrelations among oil shocks and equity markets at extreme and median quantiles are examined by means of the cross-spectral quantile technique and quantile vector auto-regression analysis. It is shown that the developed markets (oil shocks and emerging markets) are consistent net transmitters (receivers) across all quantiles, whereas the intensity of the interlinkages depends upon bearish, bullish, or side trending market states and, also, upon short, intermedium-, or long-run investment perspectives. Oil shock connectedness with stocks is strong at extreme market states but diminishes for medium quantiles corresponding to normal market conditions. However, our pairwise connectedness analysis reveals that the network topology of the oil-stock connectedness is resilient to the changes in market conditions, implying that the hedging strategies, designed for normal markets, are supposed to be workable during the boom and bust phases too. Moreover, the results show that spillovers vary substantially along the time and highlight the COVID-19-triggered alteration in the diversification potential of international stocks. Our research provides guiding implications to investors, portfolio managers, and market regulators regarding identification of diversification opportunities and intensity of contagion in financial markets.

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不同时期牛市和熊市中油价冲击与主要股指之间的风险传导

通过交叉光谱分位数技术和分位数向量自回归分析，检验了石油冲击与股票市场在极端和中位数上的相互关系。研究表明，发达市场（石油冲击和新兴市场）在所有分位数中都是一致的净发射器（接收器），而相互联系的强度取决于看跌、看涨或侧趋势市场状态，也取决于短期、中期或长期投资前景。在极端市场状态下，石油冲击与股市的关联性很强，但在与正常市场状况相对应的中等分位数上，关联性减弱。然而，我们的成对连通性分析显示，石油-股票连通性的网络拓扑结构对市场条件的变化具有弹性，这意味着为正常市场设计的对冲策略在繁荣和萧条阶段也应该是可行的。此外，研究结果表明，溢出效应随时间变化很大，并突出了covid -19引发的国际库存多样化潜力的变化。我们的研究为投资者、投资组合经理和市场监管机构在识别金融市场的多元化机会和传染强度方面提供了指导意义。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.