Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet
Tài liệu tham khảo
Addison, 2002
Aguiar-Conraria, 2008, Using wavelets to decompose the time–frequency effects of monetary policy, Physica A, 387, 2863, 10.1016/j.physa.2008.01.063
Aguiar-Conraria, 2011, Oil and the macroeconomy: Using wavelets to analyse old issues, Empirical Economics, 40, 645, 10.1007/s00181-010-0371-x
Akoum, 2012, Co-movement of oil and stock prices in the GCC region: A wavelet analysis, Quarterly Review Economics and Finance, 52, 385, 10.1016/j.qref.2012.07.005
Aloui, 2014, Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis, Economic Modelling, 36, 421, 10.1016/j.econmod.2013.09.043
Apergis, 2009, Do structural oil-market shocks affect stock prices?, Energy Economics, 31, 569, 10.1016/j.eneco.2009.03.001
Barragán, 2015, Correlations between oil and stock markets: A wavelet-based approach, Economic Modelling, 50, 212, 10.1016/j.econmod.2015.06.010
Barunik, 2011
Benhmad, 2013, Bull or bear markets: A wavelet dynamic correlation perspective, Economic Modelling, 32, 576, 10.1016/j.econmod.2013.02.031
Bouri, 2015, Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods, Energy, 89, 365, 10.1016/j.energy.2015.05.121
Broadstock, 2014, Oil price shocks and stock market returns: New evidence from the United States and China, Journal of International Financial Markets, Institutions & Money, 33, 417, 10.1016/j.intfin.2014.09.007
Burrus, 1998
Caporale, 2014, Oil price uncertainty and sectoral stock returns in China: A time-varying approach, China Economic Review, 34, 311, 10.1016/j.chieco.2014.09.008
Diebold, 2009, Measuring financial asset return and volatility spillovers, with application to global equity markets, Economic Journal, 119, 158, 10.1111/j.1468-0297.2008.02208.x
El-Sharif, 2005, Evidence on the nature and extent of the relationship between oil and equity value in UK, Energy Economics, 27, 819, 10.1016/j.eneco.2005.09.002
Elyasiani, 2011, Oil price shocks and industry stock returns, Energy Economics, 33, 966, 10.1016/j.eneco.2011.03.013
Ftiti, 2016, Oil price and stock market co-movement: What can we learn from time-scale approaches?, International Review of Financial Analysis, 266, 10.1016/j.irfa.2015.08.011
Gençay, 2005, Mutiscale systematic risk, Journal of International Money and Finance, 24, 55, 10.1016/j.jimonfin.2004.10.003
Grinsted, 2004, Application of the cross wavelet transform and wavelet coherence to geophysical time series, Nonlinear Processes Geophysics, 11, 561, 10.5194/npg-11-561-2004
Hamilton, 1983, Oil and the macroeconomy since world war II, Journal of Political Economy, 92, 228, 10.1086/261140
Hamilton, 2003, What is an oil shock?, Journal of Econometrics, 113, 363, 10.1016/S0304-4076(02)00207-5
Hamilton, 2004, Oil shocks and aggregate macroeconomics behavior: The role of monetary policy, Journal of Money, Credit, and Banking, 36, 265, 10.1353/mcb.2004.0012
Henriques, 2008, Oil prices and the stock prices of alternative energy companies, Energy Economics, 30, 998, 10.1016/j.eneco.2007.11.001
Hou, 2013, Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches, Pacific-Basin Finance Journal, 24, 109, 10.1016/j.pacfin.2013.04.001
Huang, 2011, Wavelet-based multi-resolution GARCH model for financial spillover effects, Mathematics and Computers in Simulation, 81, 2529, 10.1016/j.matcom.2011.04.003
Huang, 2015, Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level, Physica A, 434, 13, 10.1016/j.physa.2015.03.059
Hudgins, 1993, Wavelet transforms and atmospheric turbulence, Physical Review Letters, 71, 3279, 10.1103/PhysRevLett.71.3279
Jammazi, 2012, Cross dynamics of oil–stock interactions: A redundant wavelet analysis, Energy, 44, 750, 10.1016/j.energy.2012.05.017
Kaul, 1996, Oil and the stock markets, Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x
Khalfaoui, 2015, Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis, Energy Economics, 49, 540, 10.1016/j.eneco.2015.03.023
Kilian, 2008, A comparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries, Journal of the European Economic Association, 6, 78, 10.1162/JEEA.2008.6.1.78
Kilian, 2009, The impact of oil prices shocks and the U.S. stock market, International Economic Review, 50, 1267, 10.1111/j.1468-2354.2009.00568.x
Kling, 1985, Oil price shocks and stock behavior, Journal of Portfolio Management, 12, 34, 10.3905/jpm.1985.409034
Li, 2012, Oil prices and stock market in China: A sector analysis using panel cointegration with multiple break, Energy Economics, 34, 1951, 10.1016/j.eneco.2012.08.027
Madaleno, 2014, Wavelet dynamics for oil-stock world interactions, Energy Economics, 45, 120, 10.1016/j.eneco.2014.06.024
Mensi, 2015, Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia, Economic Modelling, 51, 340, 10.1016/j.econmod.2015.08.005
Mensi, 2016, New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile, Emerging Markets Review, 28, 155, 10.1016/j.ememar.2016.08.003
Narayan, 2010, Modelling the impact of oil prices on Vietnam's stock prices, Applied Energy, 87, 356, 10.1016/j.apenergy.2009.05.037
Narayan, 2011, New evidence on oil price and firm returns, Journal of Banking & Finance, 35, 3253, 10.1016/j.jbankfin.2011.05.010
Ramsey, 1998, The decomposition of economic relationship by time scale using wavelets: Expenditure and income, Studies in Nonlinear Dynamics and Econometrics, 3, 23
Ramsey, 1998, Decomposition of economic relationships by timescale using wavelets, Macroeconomic Dynamics, 2, 49, 10.1017/S1365100598006038
Reboredo, 2013, A wavelet decomposition approach to crude oil price and exchange rate dependence, Economic Modelling, 32, 42, 10.1016/j.econmod.2012.12.028
Reboredo, 2014, Wavelet-based evidence of the impact of oil prices on stock returns, International Review of Economics and Finance, 29, 145, 10.1016/j.iref.2013.05.014
Rua, 2009, International co-movement of stock market returns: A wavelet analysis, Journal of Empirical Finance, 16, 632, 10.1016/j.jempfin.2009.02.002
SAMA, 2015
Torrence, 1998, A practical guide to wavelet analysis, Bulletin of the American Meteorological Society, 79, 605, 10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2
Torrence, 1999, Interdecadal changes in the enso-monsoon system, Journal of Climate, 12, 2679, 10.1175/1520-0442(1999)012<2679:ICITEM>2.0.CO;2
Yang, 2016, Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets, Physica A: Statistical Mechanics and Its Applications, 462, 255, 10.1016/j.physa.2016.06.040
Zhang, 2017, Oil shocks and stock markets revisited: Measuring connectedness from a global perspective, Energy Economics, 62, 323, 10.1016/j.eneco.2017.01.009
