6533b837fe1ef96bd12a3493
RESEARCH PRODUCT
Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
Rania JammaziFrancisco JareñoSyed Jawad Hussain ShahzadRomán Ferrersubject
Economics and EconometricsFinancial economics020209 energyCausal relations02 engineering and technologyWavelet analysisCrude oilStock returnsGranger causality0202 electrical engineering electronic engineering information engineeringEconomicsGranger causalityOil priceOil priceSovereign debtFinanceStock (geology)description
This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu, Hong, Wang, Lai, and Liu (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence provides useful insights to participants in oil and stock markets and to policymakers.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-05-01 |