Intraday quantile coherence between oil and European sectors during the Russia-Ukraine war

Hanif, Waqas; El Khoury, Rim; Kang, Sang Hoon

http://hdl.handle.net/10400.1/26122

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Authors

Hanif, Waqas

El Khoury, Rim

Kang, Sang Hoon

Abstract(s)

This study examines the interconnectedness between crude oil and European sectors during the Russia-Ukraine conflict. Using a quantile coherence approach, we investigate the intraday dynamics of market interactions at different quantiles and frequencies. The findings reveal that in the short-term, oil emerges as a robust hedge for 12 sectors in stable market conditions, transitioning to a weaker hedge during bullish and bearish market conditions. Furthermore, the long-term analysis shows a stronger coherence between oil and stock sector indices. The medium-term and long-term analyses reveal shifts in dependence structures, with oil acting as a safe haven in bullish markets for specific sectors. These findings provide valuable insights for investors and policymakers in managing risks amid geopolitical events, contributing to the existing literature on oil-European sector dynamics.