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Upside/downside spillovers between oil and Chinese stock sectors: from the global financial crisis to global pandemic

2023-07Journal article Restricted access
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dc.contributor.authorMensi, Walid
dc.contributor.authorHanif, Waqas
dc.contributor.authorVo, Xuan Vinh
dc.contributor.authorChoi, Ki-Hong
dc.contributor.authorYoon, Seong-Min
dc.date.accessioned2023-07-27T11:57:24Z
dc.date.available2023-07-27T11:57:24Z
dc.date.issued2023-07
dc.description.abstractThis paper examines the effects of the COVID-19 outbreak, recent oil price fall, and both global and European financial crises on dependence structure and asymmetric risk spillovers between crude oil and Chinese stock sectors. Using time-varying symmetric and asymmetric copula functions and the conditional Value at Risk measure, we provide evidence of positive tail dependence in most sectors using copula and conditional Value-at-Risk techniques. We can see the average dependence between oil and industries during the oil crisis. Moreover, we find strong evidence of bidirectional risk spillovers for all oil-sector pairs. The intensity of risk spillovers from oil to all stock sectors varies across sectors. The risk spillovers from sectors to oil are substantially larger than those from oil to sectors during COVID-19. Furthermore, the return spillover is time varying and sensitive to external shocks. The spillover strengths are higher during COVID-19 than financial and oil crises. Finally, oil do not exhibit neither hedge nor safe-haven characteristics irrespective of crisis periods.pt_PT
dc.description.sponsorshipNRF-2022S1A5A2A01045530pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.najef.2023.101925pt_PT
dc.identifier.eissn1879-0860
dc.identifier.urihttp://hdl.handle.net/10400.1/19879
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.subjectChinese sector stockspt_PT
dc.subjectCrude oilpt_PT
dc.subjectSpilloverspt_PT
dc.subjectCrisispt_PT
dc.subjectSafe havenpt_PT
dc.titleUpside/downside spillovers between oil and Chinese stock sectors: from the global financial crisis to global pandemicpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.startPage101925pt_PT
oaire.citation.titleThe North American Journal of Economics and Financept_PT
oaire.citation.volume67pt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

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