Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach

J Zhao, L Cui, W Liu, Q Zhang - Resources Policy, 2023 - Elsevier
As one of the world's largest oil importer, China's economy is significantly influenced by oil
price fluctuations. This study investigates the risk spillover effect of international oil price on …

Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management

R Khalfaoui, S Sarwar, AK Tiwari - Resources Policy, 2019 - Elsevier
This study analyses the volatility spillover between the oil market and the stock market of oil-
importing and oil-exporting countries using daily data over the period from January 2010 to …

Oil shocks and equity markets: The case of GCC and BRICS economies

Z Umar, N Trabelsi, A Zaremba - Energy Economics, 2021 - Elsevier
This study analyzes the relationship between oil shocks and the equity markets of a group of
world major oil producers and consumers encompassing both the GCC and BRICS …

Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and …

I Yousaf, M Beljid, A Chaibi, AAL Ajlouni - Pacific-Basin Finance Journal, 2022 - Elsevier
In this paper, we use a bivariate VAR-asymmetric-BEKK-GARCH model to examine returns,
asymmetric volatility spillovers, and time-varying correlations among GCC stock markets …

[HTML][HTML] The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach

FM Abdulkarim, MI Akinlaso, BA Hamid, HS Ali - Borsa Istanbul Review, 2020 - Elsevier
The goal of this paper is to address the relationship between crude oil-price changes on
some selected African Islamic indices, using daily data from May 4, 2011, to January 25 …

Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries

A Sadeghi, S Roudari - Resources Policy, 2022 - Elsevier
This paper examines whether or not the oil structure of economies, the source of oil shocks,
and regime changes affect stock price responses. After dividing the entire period into two …

Dynamic interrelationship and volatility spillover among sustainability stock markets, major European conventional indices, and international crude oil

B Maraqa, M Bein - Sustainability, 2020 - mdpi.com
This study examines the dynamic interrelationship and volatility spillover among stainability
stock indices (SSIs), international crude oil prices and major stock returns of European oil …

Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia

EI Cevik, S Dibooglu, A Awad Abdallah… - … and Economic Policy, 2021 - Springer
This work reinvestigates the interrelationship between crude oil prices and stock market
returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by …

Does stock return affect decomposed energy shocks differently? Evidence from a time frequency quantile-based framework

A Bouteska, T Sharif, MZ Abedin - International Review of Financial …, 2024 - Elsevier
We study the interconnections and consequences of fluctuations in energy prices on the
returns of stocks within both highly optimistic and pessimistic market conditions, considering …

Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes

BA Souhir, B Heni, B Lotfi - Energy Economics, 2019 - Elsevier
Electricity markets become more competitive due to their liberalization; therefore, electricity
prices are considerably more volatile compared to other commodity prices. As the electricity …