地理冲突对石油和股票市场风险探戈的影响：来自石油进口国和出口国的经验证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-03-16 DOI:10.1016/j.najef.2025.102419

Aziz Ullah , Kang-Lin Peng , Chih-Chiang Lu , Ying Jin

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引用次数: 0

摘要

本研究考察了俄乌冲突和巴以争端对西德克萨斯中质原油（WTI）和布伦特原油回报在石油进出口股票市场风险探戈的影响。研究发现：首先，目前这些市场的条件波动很大程度上依赖于地理冲突引起的波动。其次，随时间变化的协同运动表明，从长期来看，西德克萨斯中质油与印度和美国存在逆周期行为。与此同时，布伦特原油与日本表现出鲜明的周期性关系，与美国和印度表现出逆周期关系。第三，我们的网络图可视化了俄罗斯-乌克兰和以色列-巴勒斯坦紧张局势的波动，以及在小波分析中看到的类似的共同运动趋势。最后，它揭示了地缘政治紧张局势对区域经济的广泛影响。此外，投资组合权重建议投资者分散投资，并将50%以上的投资分配给石油资产。然而，布伦特原油提供了优质的廉价对冲，尤其是对石油出口而言，而西德克萨斯中质原油对石油进口经济体而言更具成本效益。

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Impacts of geographical conflicts on risk tango between oil and equity markets: An empirical evidence from oil-importing and exporting nations

This study investigates the impact of the Russia-Ukraine conflict and the Israel-Palestine dispute on the risk tango between West Texas Intermediate (WTI) and Brent oil returns on oil-importing and exporting equity markets. The Findings are as follows:

Firstly, the current conditional volatility in these markets relies heavily on volatility caused by geographical conflicts. Secondly, the time-varying co-movement shows that WTI has countercyclical behaviour with India and the US in the long run. At the same time, Brent exhibits contrasting cyclical with Japan and countercyclical relationships with the USA and India. Thirdly, our NET plots visualize the fluctuation amid Russia-Ukraine and Israeli-Palestine tension and similar co-movement trends witnessed in wavelet analysis. Lastly, it reveals that geopolitical tension has widespread implications for regional economies. Furthermore, the portfolio weights recommend that investors diversify and apportion more than 50% to oil assets. However, Brent offers superior cheap hedging, particularly for oil exporting, while WTI is more cost-effective for oil-importing economies.

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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.