Oil and stock markets before and after financial crises: A local Gaussian correlation approach

Journal of Futures Markets - Tập 37 Số 12 - Trang 1179-1204 - 2017
Georgios Bampinas1, Theodore Panagiotidis1
1Department of Economics, University of Macedonia, Thessaloniki, Greece

Tóm tắt

The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like “a market of one” after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.

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