Journal
ENERGY ECONOMICS
Volume 80, Issue -, Pages 524-535Publisher
ELSEVIER
DOI: 10.1016/j.eneco.2019.02.005
Keywords
Crude oil; Stock markets; Risk spillover effect; VAR for VaR; Pseudo impulse-response functions
Categories
Funding
- National Natural Science Foundation of China [71871088]
- Henan Provincial Natural Science Foundation of China [2017JJ3024]
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This article investigates the risk spillover effect between oil and stock markets using a novel multivariate quantile model (i.e., the VAR for VaR approach) and pseudo impulse-response functions. We explore the risk spillover at different quantiles using daily data over the period from January 4, 2000 through August 31, 2018. Our results indicate the asymmetry in spillover effect which is significant at upside quantiles but not significant at downside quantiles. Based on subsample analysis, we find that the risk spillover becomes stronger after 2008 financial crisis, while before the crisis the spillover effect is very weak. The international evidence shows that the asymmetric risk spillover can also be found in other six major stock indices of the G7 group. (C) 2019 Elsevier B.V. All rights reserved.
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