期刊
ENERGY ECONOMICS
卷 90, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.eneco.2020.104835
关键词
Co-movement; Lead-lag relationship; Wavelet-based Granger causality test; Wavelet coherence; Wavelet multi-scale decomposition
类别
资金
- Ministry of Education of the Republic of Korea
- National Research Foundation of Korea [NRF-2017S1A5B8057488]
- National Research Foundation of Korea [2017S1A5B8057488] Funding Source: Korea Institute of Science & Technology Information (KISTI), National Science & Technology Information Service (NTIS)
This study explores the dynamic co-movement between oil and six stock markets (China, India, Japan, Saudi Arabia, Russia, and Canada) by using two types of wavelet analysis (wavelet multi-scale decomposition and wavelet coherence). The main empirical results are as follows: (1) Maximal overlap discrete wavelet transform analysis shows that there are feedback relationships between the price movement of oil and stock markets in all six countries in the wavelet-based decomposition at the D-4, D-5, and D-6 scales. (2) The pairs of oil and stock returns show high overall co-movement at the 16to 128-week scale based on continuous wavelet transform analysis. The wavelet coherence and phase plots show that the pairs of oil and oil-importing stock market returns have high co-movement for the period between 2007 and 2012 (especially during the global financial crisis of 2008). In addition, the wavelet coherence and phase plots show that the pairs of oil and oil-exporting stock market returns have high co-movement from 2007 to 2017. (3) Oil price returns lead the stock returns of Saudi Arabia, Russia and Canada from 2007 to 2017 at the 16to 128-week scale. The stock prices are more influenced by oil prices in oil-exporting countries than in oil-importing countries. This evidence implies that the economic structure of oil-exporting countries depends strongly on crude oil production. (4) From the results of the wavelet-based Granger causality test, there is a lead-lag causality linkage in which the oil price leads stock market indices from 27 to 30 weeks (189-210 days). The implications of these findings are discussed. (C) 2020 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据