Crude oil shocks and stock markets: A panel threshold cointegration approach

By Huiming Zhu, Sufang Li, Keming Yu. 2011

119 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/69bf8ceafeb57c89564a53d1c11a4146461dab7b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Bin Pan
2. Xinheng Liu
3. Bin Chen
4. Limin Du
5. Chunyan Hu
6. Yanan He
7. Xiaohua Xia

Citations in the corpus

• Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model (2017, background): “Besides, other articles indicate that the relationship between the oil prices and the stock market is depended on various conditions of the economic structure of individual countries (Cong et al. 2008; Park and Ratti 2008; Zhu, Li, and Yu 2011).”
• Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012, unknown): “[99].”
• Extreme risk spillovers between crude oil and stock markets (2015, background): “…between crude oil futures and the S&P500 stock index from May 1990 to August 2006, and find that when the S&P 500 index was declining extremely, and Chen (2011), Zhu et al. (2011), Arouri et al. (2012), Basher et al. (2012), Jammazi (2012), Li, et al. (2012), Lee et al. (2012), and Ciner (2013).”