Repository logo
 
Publication

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

2024-09-18Journal article Restricted access
Simple item page
dc.contributor.authorHanif, Waqas
dc.contributor.authorEl Khoury, Rim
dc.contributor.authorKang, Sang Hoon
dc.date.accessioned2024-10-22T09:24:47Z
dc.date.available2024-10-22T09:24:47Z
dc.date.issued2024-09-18
dc.description.abstractThis 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.eng
dc.description.sponsorshipNRF-2022S1A5A2A01038422
dc.identifier.doi10.1080/13504851.2024.2402944
dc.identifier.eissn1466-4291
dc.identifier.issn1350-4851
dc.identifier.urihttp://hdl.handle.net/10400.1/26122
dc.language.isoeng
dc.peerreviewedyes
dc.publisherTaylor and Francis Group
dc.relationCenter for Advanced Studies in Management and Economics
dc.relation.ispartofApplied Economics Letters
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectQuantile coherence
dc.subjectCrude oil
dc.subjectEuropean sectors
dc.subjectIntraday data
dc.subjectRussia-Ukraine
dc.subjectConflict
dc.titleIntraday quantile coherence between oil and European sectors during the Russia-Ukraine wareng
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.titleApplied Economics Letters
oaire.fundingStream6817 - DCRRNI ID
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
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
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

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Intraday quantile coherence between oil and European sectors during the Russia-Ukraine war.pdf
Size:
17.09 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
3.46 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

FCH2-Artigos (em revistas ou actas indexadas)