Dynamic Effect of Structural Oil Price Shocks on New Energy Stock Markets

نویسندگان

چکیده

This paper decomposes daily crude oil shocks into demand shock, supply shock and risk shock. Then, it employs Diebold Yilmaz connectedness index approach to explore the differences for time-varying effect of different types structural on new energy stock markets in China, Europe United States during period 10 June 2009–30 October 2018. The findings show that: 1) There are features all markets. 2) have a large explanatory ability returns markets, while has small impact. 3) influences market 1.31%, 8.64%, 4.47%, respectively; however, affection same 3.17%, 7.91%, 21.51%, respectively. 4) little impact any volatilities, but effects China States’ volatilities 2.44% 3.14%,

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Economic Impact of Oil Price Shocks on Emerging Markets

Recent spikes in oil prices have thrown light on how economic activity in emerging markets may be impacted by oil price shocks. This paper conducts an empirical analysis of the effect of oil price shocks on emerging markets. It tests for the existence of an asymmetrical relationship between oil prices and economic activity using a model developed by James Hamilton. It also assesses the impact o...

متن کامل

Reaction of Stock Market Index to Oil Price Shocks

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...

متن کامل

Price jumps on European stock markets ¬リニ

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price jump indicator) and Method 2 maximizes...

متن کامل

Oil Price Shocks and Inflation

The historical record Figure 1 plots the price of oil relative to the core personal consumption expenditures price index (PCEPI) together with the core PCEPI inflation rate. (Core measures of inflation exclude food and energy prices.) The figure shows that the price of oil jumped sharply twice in the 1970s, as did inflation. But this relationship appears to have deteriorated over the latter par...

متن کامل

Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?

a r t i c l e i n f o JEL classification: Q43 F3 G14 G15 Keywords: Stock market returns Oil price fluctuations Gregory–Hansen co-integration test Toda–Yamamoto Granger non-causality test The main focus of this study is to examine how oil price fluctuations influence the performance of stock markets. This study used the causality approach developed by Toda and Yamamoto (1995) to explore the caus...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Frontiers in Environmental Science

سال: 2021

ISSN: ['2296-665X']

DOI: https://doi.org/10.3389/fenvs.2021.636270