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.
Explaining Algorithmic Fairness Through Fairness-Aware Causal Path Decomposition
