石油冲击与美国工业中高时刻信息的传播：来自不对称难题的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-11-01 DOI:10.1016/j.bir.2024.07.005

Muhammad Abubakr Naeem , Raazia Gul , Ahmet Faruk Aysan , Umar Kayani

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引用次数: 0

摘要

本研究采用交叉量表法，利用高频（1 分钟）数据分析了高时刻信息在美国各行业间的传递。我们研究了石油供求冲击对这种传递的影响，发现这种影响是不对称的。具体来说，石油价格的负向冲击会放大高频信息的非对称传递，而正向冲击则会产生相反的影响。研究结果凸显了应对石油价格波动的信息传递动态的复杂性，强调决策者和投资者在评估风险和做出决策时需要考虑到这些细微差别。研究结果强调了石油价格的方向和幅度在形成各行业信息格局中的关键作用。

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Oil shocks and the transmission of higher-moment information in US industry: Evidence from an asymmetric puzzle

Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations