Shock transmission between crude oil prices and stock markets

• DOI: 10.1016/j.resourpol.2023.103754
• Publication Date: 2023-06-02T17:13:51Z
• Authors: Ana Escribano; Monika W. Koczar; Francisco Jareño; Carlos Esparcia
• Keywords: Brent Crude; Spillover effect; Equity; Stock (firearms)

This paper investigates the connectedness between crude oil prices and several financial stock markets from January 2000 to February 2023, applying a Dynamic Conditional Correlation Skew Student Copula model index by Diebold Yilmaz (2012). The Kendall's Tau correlation findings show that prior Global Finance Crisis, equity were less linked BRENT than after crisis, likely because of economic growth reducing importance prices. However, late 2008 global uncertainty due various crises conflicts led greater among major indices. Importing countries showed negative pairwise dependence with more frequently exporting countries, which can be attributed their structure on oil. Thus, serve as hedge asset for investments in importing just diversifier its weak correlation. Additionally, within oil-exporting such Norway (OSEAX) or Russia (RTS), are net receivers. study concludes detailed analysis terms returns volatility not only during different political events but also aftermath natural disasters have affected interdependencies them. results prove occurrences influence do significant impact, spillover effect these dissolves at leisurely pace. this clearly implications market participants, policymakers, portfolio managers.