Wavelet-based evidence of the impact of oil prices on stock returns

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Quantile dependence of oil price movements and stock returns (2016, background): “…was time-varying and nonlinear and could change to reflect specific events like the recent global financial crisis (see, e.g., Miller and Rati, 2009; Reboredo, 2010; Filips et al., 2011; Daskalaki and Skiadopoulos, 2011; Chang and Yu, 2013; Reboredo and Rivera-Castro, 2014; Zhang and Li, 2014).”
Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, background): “The same authors (Reboredo and Rivera-Castro, 2014) also studied the impact of oil prices on stock returns by dividing the sample into two periods, namely, pre-July 2008 and post-July 2008; they identified that a structural breakpoint in linear dependence between July 2008 and September 2008 for all”
Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2015, background): “1 For example, Reboredo and Rivera-Castro (2014) found evidence for the US and Europe of contagion and positive interdependence between oil price changes and stockmarket returns during the recent financial crisis at both the aggregate and sectoral levels, in contrast to the preceding period when oil”