Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/26175 |
Resumo: | This paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than viceversa, and this particularly applies for the U.S. case. |
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Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regressionVolatility spillover effectOil and stock marketsWaveletsRobust quantile regressionThis paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than viceversa, and this particularly applies for the U.S. case.SpringerRepositório da Universidade de LisboaŽivkov, DejanManić, SlavicaKovačević, JelenaTrbović, Željana2022-11-23T11:26:33Z20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/26175engŽivkov, Dejan ... [et al.] (2022). "Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression". Portuguese Economic Journal, 21(1):67-931617-982X10.1007/s10258-020-00189-xmetadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:40Zoai:www.repository.utl.pt:10400.5/26175Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:53.008129Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
title |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
spellingShingle |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression Živkov, Dejan Volatility spillover effect Oil and stock markets Wavelets Robust quantile regression |
title_short |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
title_full |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
title_fullStr |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
title_full_unstemmed |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
title_sort |
Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression |
author |
Živkov, Dejan |
author_facet |
Živkov, Dejan Manić, Slavica Kovačević, Jelena Trbović, Željana |
author_role |
author |
author2 |
Manić, Slavica Kovačević, Jelena Trbović, Željana |
author2_role |
author author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Živkov, Dejan Manić, Slavica Kovačević, Jelena Trbović, Željana |
dc.subject.por.fl_str_mv |
Volatility spillover effect Oil and stock markets Wavelets Robust quantile regression |
topic |
Volatility spillover effect Oil and stock markets Wavelets Robust quantile regression |
description |
This paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than viceversa, and this particularly applies for the U.S. case. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-11-23T11:26:33Z 2022 2022-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/26175 |
url |
http://hdl.handle.net/10400.5/26175 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Živkov, Dejan ... [et al.] (2022). "Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regression". Portuguese Economic Journal, 21(1):67-93 1617-982X 10.1007/s10258-020-00189-x |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer |
publisher.none.fl_str_mv |
Springer |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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