Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States

By Weiju Xu, Feng Ma, Wang Chen, Bing Zhang. Energy Economics, 2019

211 citations recorded by the source corpus.

The relationship between oil and stock markets is a hot topic, but little research has focused on the time-varying asymmetric volatility spillover in a quantitative manner. In this study, we use a new spillover directional measure and asymmetric spillover measures to investigate the dynamic asymmetric volatility spillover between oil and stock markets during the period of 2007 to 2016. Using the intra-day data of WTI future prices, the SP the results also show strong evidence of asymmetries in volatility shocks between the oil and stock markets due to bad volatility.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/abdad36292efcbb1f7dfbdf41f2ac9fed42c8c8c

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. Sang Hoon Kang
2. X. Vo
3. Walid Mensi
4. Abdel Razzaq Al Rababa'a
5. Duc Khuong Nguyen
6. Mohamed Arouri
7. K. Al-Yahyaee
8. Ahmet Sensoy

In Renewable Energy, Sustainability and the Environment

1. X. Vo
2. Walid Mensi
3. Sang Hoon Kang

Citations in the corpus

• Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, result): “Henceforth, the asymmetric spillover evidence confirms the previous findings of Xu et al. (2019) and BenSaïda (2019) on the role of exogenous shocks in producing the asymmetric responses in stock market volatility.”