کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10156242 | 1666383 | 2018 | 39 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Analysis of the international propagation of contagion between oil and stock markets
ترجمه فارسی عنوان
تجزیه و تحلیل انتشار بین المللی از آلودگی بین بازارهای نفت و سهام
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
In this paper, we use time-varying copula and VAR-DAG models to investigate oil-stock contagion and its propagation among seven countries with different levels of economic development. Our results present evidence of positive lower tail dependence between oil and stock markets of the seven countries, which is indicative of contagion in the sense of Okimoto [1]. Evolution patterns of contagion are similar in the developed countries but different in the developing ones. Moreover, contagion is significantly affected by the 2008 financial crisis, and the contagious magnitude in China and India is considerably smaller than in the other five countries. The empirical evidence also suggests that oil-stock contagion is propagated from developed countries to developing ones, and Brazil is the most affected by the developed countries' contagion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy - Volume 165, Part A, 15 December 2018, Pages 469-486
Journal: Energy - Volume 165, Part A, 15 December 2018, Pages 469-486
نویسندگان
Guofu Zhang, Wei Liu,