TY - JOUR
T1 - Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices
T2 - Evidence from partial and multivariate wavelet approaches
AU - Mensi, Walid
AU - Rehman, Mobeen Ur
AU - Al-Yahyaee, Khamis Hamed
AU - Vo, Xuan Vinh
N1 - Publisher Copyright:
© 2022 Elsevier Ltd
PY - 2023/1
Y1 - 2023/1
N2 - This paper examines the frequency dynamic co-movements between crude oil prices and stock market returns of three developed economies (Canada, Japan, and the USA) and the emerging BRICS (Brazil, Russia, India, China, and South Africa) economies by considering four global factors (U.S. treasury bills, S&P volatility index, gold price, and U.S. EPU index). Using bivariate and multivariate wavelet approaches, the results show evidence of time-frequency co-movements between the considered markets at medium and low frequencies. Besides, the results reveal that the co-movement is intensified during global financial crisis and COVID-19 pandemic periods, confirming recoupling hypothesis. The risk analysis reveals dependence and persistence of co-movements, and aggravation of portfolio risk in the BRICS economies and across markets during bouts of afflictions. These findings should encourage the relevant national and transnational policy makers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.
AB - This paper examines the frequency dynamic co-movements between crude oil prices and stock market returns of three developed economies (Canada, Japan, and the USA) and the emerging BRICS (Brazil, Russia, India, China, and South Africa) economies by considering four global factors (U.S. treasury bills, S&P volatility index, gold price, and U.S. EPU index). Using bivariate and multivariate wavelet approaches, the results show evidence of time-frequency co-movements between the considered markets at medium and low frequencies. Besides, the results reveal that the co-movement is intensified during global financial crisis and COVID-19 pandemic periods, confirming recoupling hypothesis. The risk analysis reveals dependence and persistence of co-movements, and aggravation of portfolio risk in the BRICS economies and across markets during bouts of afflictions. These findings should encourage the relevant national and transnational policy makers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.
KW - CVaR
KW - Global factors
KW - Multivariate wavelet
KW - Oil prices
KW - Stock markets
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U2 - 10.1016/j.resourpol.2022.103161
DO - 10.1016/j.resourpol.2022.103161
M3 - Article
AN - SCOPUS:85143523374
SN - 0301-4207
VL - 80
JO - Resources Policy
JF - Resources Policy
M1 - 103161
ER -