The dynamic information spill-over effect of WTI crude oil prices on China’s traditional energy sectors

2018 ◽  
Vol 10 (3) ◽  
pp. 516-534 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Yao-Bin Wu
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Oil Prices ◽  
Petroleum Processing ◽  
Time Varying ◽  
Causality Test ◽  
Content Type ◽  
Market Values ◽  
Crude Oil Prices ◽  
Linear And Nonlinear

PurposeThe purpose of this paper is to explore the dynamic influence of WTI crude oil returns on the stock returns of China’s traditional energy sectors, including oil and gas exploitation, coal mining and processing, petroleum processing and coking, electricity, heat production and supply and mining services.Design/methodology/approachHong’s information spill-over test and the DP Granger causality test are applied to investigate the relationship between the two markets. Moreover, a rolling window is introduced into the above two tests to capture time-varying characteristics of the influence of WTI crude oil returns.FindingsThe empirical results indicate that, first, there exists significant bidirectional linear causality between WTI crude oil returns and China’s traditional energy sectoral stock returns, but the nonlinear causality appears weaker. Second, the influence of WTI crude oil returns on traditional energy sectoral stock returns has time-varying characteristics and industry heterogeneity both in the linear and nonlinear cases. Finally, the decline of WTI crude oil prices may strengthen its linear influence on the stock returns of traditional energy sectors, while the excessive rise of market values in traditional energy sectors may weaken the linear and nonlinear influence of WTI on them.Originality/valueThe general nexus between international crude oil market and China’s traditional energy stock market is explored both in the linear and nonlinear perspectives. In particular, the dynamic linear and nonlinear influence of WTI crude oil returns on China’s traditional energy sectoral stock returns and its industry heterogeneity are analysed in detail.

scholarly journals Do Tense Geopolitical Factors Drive Crude Oil Prices?

Energies ◽  
2020 ◽  
Vol 13 (16) ◽  
pp. 4277
Author(s):  
Fen Li ◽  
Zhehao Huang ◽  
Junhao Zhong ◽  
Khaldoon Albitar
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Causal Link ◽  
Short Term ◽  
Causality Test ◽  
Dynamic Correlation ◽  
Crude Oil Prices ◽  
Political Events ◽  
Real Factor ◽  
Copula Approach

Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

scholarly journals Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil

2020 ◽  
Vol 12 (9) ◽  
pp. 3908 ◽  
Author(s):  
Basel Maraqa ◽  
Murad Bein
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Volatility Spillover ◽  
Socially Responsible ◽  
Crude Oil Prices ◽  
Daily Data ◽  
Oil Markets ◽  
The Global Financial Crisis

This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland and The Netherlands) and oil-exporting countries (Norway and Russia). We employ the DCC-MGARCH model and use daily data for the sample period from 28 September 2001 to 10 January 2020. We find that the dynamic interrelationship between SSIs, stock returns of European oil importing/exporting countries and oil markets is different. There is higher correlation between SSIs and oil-importing countries, while oil-exporting countries have higher correlation with the oil market. Notably, the correlation between oil and stock returns became higher during and after the global financial crisis. This study also reveals the existence of significant volatility spillover between sustainability stock returns, international oil prices and the major indices of oil importing/exporting countries. These results have important implications for investors who are seeking to hedge and diversify their assets and for socially responsible investors.

scholarly journals Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010

2016 ◽  
Vol 56 ◽  
pp. 205-214 ◽  
Author(s):  
Elie Bouri ◽  
Basel Awartani ◽  
Aktham Maghyereh
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Oil Prices ◽  
Arab Uprisings ◽  
Crude Oil Prices

Iran nuclear deal could test European unity

2018 ◽  
Keyword(s):  
Crude Oil ◽  
National Security ◽  
Financial Institutions ◽  
Negative Impact ◽  
Oil Prices ◽  
Content Type ◽  
Crude Oil Prices ◽  
European Unity ◽  
Oil Exports ◽  
Trading Partners

Significance The recent appointments of Secretary of State Mike Pompeo and National Security Advisor John Bolton, both critics of the deal, could contribute to Trump’s willingness to withdraw -- despite progress in consultations between Washington and its European allies to address US concerns. Impacts The reluctance of financial institutions to enter Iran’s market makes it difficult for firms to secure financing for their Iran operations. US secondary sanctions would have a particularly negative impact on Iran’s top European trading partners: Italy, France, Germany and Spain. A snapback of US sanctions would cut Iranian oil exports and push up crude oil prices.

scholarly journals Time-varying relationship between Ukrainian corn and world crude oil prices

2020 ◽  
Vol 184 (7-8) ◽  
pp. 49-57
Author(s):  
Mariusz Hamulczuk ◽  
◽  
Oksana Makarchuk ◽  
Keyword(s):  
Crude Oil ◽  
Corn Oil ◽  
Oil Prices ◽  
Developed Countries ◽  
Correlation Technique ◽  
Time Varying ◽  
Policy Reforms ◽  
Crude Oil Prices ◽  
The World ◽  
Corn Prices

Corn belongs to the most important feed and industrial grains in the world being utilized for bioethanol production. Ukraine does not produce biofuels and does not pursue an active renewable energy policy. However, due to significant share of exports, corn prices in Ukraine can be shaped under the influence of biofuel policies pursued by developed countries, as well as under the influence of world energy markets. Therefore, the aim of the paper is to investigate the mechanisms linking Ukrainian export corn prices with Brent oil prices, as well as to quantitatively assess the nature of this relationship. We were especially interested in possible time-varying relationship between the prices. The price analysis was carried out on the basis of monthly data for the period 2001-2020 with the use of rolling correlation technique and rolling causality tests. The results of this research indicate on time-varying co-movements of Ukrainian corn and Brent crude oil prices. The strongest positive correlations and significant bidirectional causality were observed in 2007-2011. However, in most of sub-periods there were no significant relationships between these prices. Among factors strengthening the price linkages are the low corn-oil price ratios, dynamic increase of corn utilized for ethanol production and depletion of the world corn stocks. The conducted analysis confirmed that changes in biofuel demand in other countries can affect Ukrainian corn market due to horizontal integration of grain markets worldwide. Biofuel policy reforms in the EU aiming at decreasing mandatory blending of conventional biofuels in favor of advanced biofuels can lead to decrease in demand for corn in Ukraine after 2021, leading, in turn, to further weakening of linkage between corn and crude oil prices.

Oil prices complicate Latin America outlook

2015 ◽  
Keyword(s):  
Latin America ◽  
Crude Oil ◽  
Investment Decisions ◽  
Oil Prices ◽  
Price Impact ◽  
Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
The World ◽  
Alternative Energies

Subject 'Winners' and 'losers' from the recent collapse in oil prices. Significance The recent precipitate fall in crude oil prices, with the Brent crude price falling below 50 dollars/barrel in January (less than half its September 2014 level), is clearly having a major impact around the world. In Latin America, which includes both oil importing and exporting countries, there will be winners and losers from this development, although in some cases the oil price impact is likely to prove more nuanced. Impacts Plunging oil prices are compounding doubts surrounding the regional hydrocarbons sector. The effect on investment decisions will have a longer-term impact on the region. The development of alternative energies in Latin America will be hit by the lower prices.

Sign in / Sign up

Export Citation Format

Share Document