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Spillovers and tail dependence between oil and US sectoral stock markets before and during  COVID-19 pandemic

2023-02Journal article Restricted access
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dc.contributor.authorMensi, Walid
dc.contributor.authorHanif, Waqas
dc.contributor.authorBouri, Elie
dc.contributor.authorVo, Xuan Vinh
dc.date.accessioned2023-03-27T09:36:08Z
dc.date.available2023-03-27T09:36:08Z
dc.date.issued2023-02
dc.description.abstractPurposeThis paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication and utilities) before and during COVID-19 outbreak. This study is based on the rationale that stock sectors exhibit heterogeneity in their response to oil prices depending on whether they are classified as oil-intensive or non-oil-intensive sectors and the possible time variation in the dependence and risk spillover effects.Design/methodology/approachThe authors employ static and dynamic symmetric and asymmetric copula models as well as Conditional Value at Risk (VaR) (CoVaR). Finally, they use robustness tests to validate their results.FindingsBefore the COVID-19 pandemic, crude oil returns showed an asymmetric tail dependence with all stock sector returns, except health care and industrials (materials), where an average (symmetric tail) dependence is identified. During the COVID-19 pandemic, crude oil returns exhibit a lower tail dependency with the returns of all stock sectors, except financials and consumer discretionary. Furthermore, there is evidence of downside and upside risk asymmetric spillovers from crude oil to stock sectors and vice versa. Finally, the risk spillovers from stock sectors to crude oil are higher than those from crude oil to stock sectors, and they significantly increase during the pandemic.Originality/valueThere is heterogeneity in the linkages and the asymmetric bidirectional systemic risk between crude oil and US economic sectors during bearish and bullish market conditions; this study is the first to investigate the average and extreme tail dependence and asymmetric spillovers between crude oil and US stock sectors.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1108/IJOEM-12-2021-1799pt_PT
dc.identifier.eissn1746-8817
dc.identifier.urihttp://hdl.handle.net/10400.1/19318
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherEmeraldpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.subjectCrude oilpt_PT
dc.subjectUS stock sectorspt_PT
dc.subjectCOVID-19pt_PT
dc.subjectTail dependencept_PT
dc.subjectExtreme spilloverspt_PT
dc.titleSpillovers and tail dependence between oil and US sectoral stock markets before and during  COVID-19 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/UIDP%2F04007%2F2020/PT
oaire.citation.titleInternational Journal of Emerging Marketspt_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.isProjectOfPublicationff057966-c35f-4780-902c-73db27045448
relation.isProjectOfPublication.latestForDiscoveryff057966-c35f-4780-902c-73db27045448

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