On the interdependence of natural gas and stock markets under structural breaks

Acaravci, 2012, Natural gas prices and stock prices: Evidence from EU-15 countries, Economic Modelling, 29, 1646, 10.1016/j.econmod.2012.05.006

Ajmi, 2014, Oil prices and MENA stock markets: New evidence from nonlinear and asymmetric causalities during and after the crisis period, Applied Economics, 46, 2167, 10.1080/00036846.2014.896987

Aloui, 2012, Assessing the impacts of oil price fluctuations on stock returns in emerging markets, Economic Modelling, 29, 2686, 10.1016/j.econmod.2012.08.010

Andriosopoulos, 2015, Risk management in the energy markets and Value-at-Risk modelling: A hybrid approach, The European Journal of Finance, 21, 548, 10.1080/1351847X.2013.862173

Angelidis, 2015, US stock market regimes and oil price shocks, Global Finance Journal, 28, 132, 10.1016/j.gfj.2015.01.006

Apergis, 2009, Do structural oil-market shocks affect stock prices?, Energy Economics, 31, 569, 10.1016/j.eneco.2009.03.001

Ariss, 2011, Calendar anomalies in the Gulf Cooperation Council stock markets, Emerging Markets Review, 12, 293, 10.1016/j.ememar.2011.04.002

Arouri, 2011, Return and volatility transmission between world oil prices and stock markets of the GCC countries, Economic Modelling, 28, 1815, 10.1016/j.econmod.2011.03.012

Arouri, 2012, Long memory and structural breaks in modeling the return and volatility dynamics of precious metals, The Quarterly Review of Economics and Finance, 52, 207, 10.1016/j.qref.2012.04.004

Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540

Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659

Basher, 2006, Oil price risk and emerging stock markets, Global Finance Journal, 17, 224, 10.1016/j.gfj.2006.04.001

Batten, 2017, Can stock market investors hedge energy risk? Evidence from Asia, Energy Economics, 10.1016/j.eneco.2016.11.026

Berndt, 1974, Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement, 3, 653

Bley, 2010, Cross-cultural differences in seasonality, International Review of Financial Analysis, 19, 306, 10.1016/j.irfa.2010.08.004

Bollerslev, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, 11, 143, 10.1080/07474939208800229

Borovkova, 2015, News, volatility and jumps: The case of natural gas futures, Quantitative Finance, 15, 1217, 10.1080/14697688.2014.986513

Bouri, 2015, A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market, Energy Policy, 85, 271, 10.1016/j.enpol.2015.06.001

Bouri, 2016, On the volatility transmission between oil and stock markets: A comparison of emerging importers and exporters, Economia Politica: Journal of Analytical and Institutional Economics, 33, 63, 10.1007/s40888-016-0022-6

Bouri, 2017, Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism, International Review of Economics and Finance, 48, 34, 10.1016/j.iref.2016.11.004

Boyer, 2007, Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Economics, 29, 428, 10.1016/j.eneco.2005.12.003

British Petroleum, 2016

Chau, 2014, Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries, Journal of International Financial Markets, Institutions & Money, 28, 1, 10.1016/j.intfin.2013.10.008

Cheung, 1996, A causality-in-variance test and its application to financial market prices, Journal of Econometrics, 72, 33, 10.1016/0304-4076(94)01714-X

Creti, 2013, On the links between stock and commodity markets’ volatility, Energy Economics, 37, 16, 10.1016/j.eneco.2013.01.005

Diaz, 2016, Oil price volatility and stock returns in the G7 economies, Energy Economics, 54, 417, 10.1016/j.eneco.2016.01.002

Dickey, 1979, Distribution of the estimators for autoregressive time-series with a unit roots, Journal of the American Statistical Association, 74, 427, 10.2307/2286348

Dickey, 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057, 10.2307/1912517

Driesprong, 2008, Striking oil: Another puzzle?, Journal of Financial Economics, 89, 307, 10.1016/j.jfineco.2007.07.008

Ewing, 2016, Volatility spillovers between oil prices and the stock market under structural breaks, Global Finance Journal, 29, 12, 10.1016/j.gfj.2015.04.008

Fang, 2014, The impact of oil price shocks on the large emerging countries’ stock prices: Evidence from China, India and Russia, International Review of Economics and Finance, 29, 330, 10.1016/j.iref.2013.06.005

Filis, 2011, Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, 20, 152, 10.1016/j.irfa.2011.02.014

Gatfaoui, 2016, Linking the gas and oil markets with the stock market: Investigating the U.S. relationship, Energy Economics, 53, 5, 10.1016/j.eneco.2015.05.021

Gebka, 2007, Intra- and inter-regional spillovers between emerging capital markets around the world, Research in International Business and Finance, 21, 203, 10.1016/j.ribaf.2006.03.005

Gevorkyan, 2017, Renewable versus nonrenewable resources: An analysis of volatility in futures prices, Australian Journal of Agricultural and Resource Economics, 61, 1, 10.1111/1467-8489.12194

Glosten, 1993, On the relation between the expected value and volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779, 10.1111/j.1540-6261.1993.tb05128.x

Granger, 1980, Testing for causality: A personal view, Journal of Economic Dynamics and Control, 2, 329, 10.1016/0165-1889(80)90069-X

Granger, 1986, Wholesale and retail prices: bivariate time-series modelling with forecastable error variances, 1

Grieb, 2015, Mean and volatility transmission for commodity futures, Journal of Economics and Finance, 39, 100, 10.1007/s12197-012-9245-8

Gulen, 2000, Stock index futures trading and volatility in international equity markets, The Journal of Futures Markets, 20, 661, 10.1002/1096-9934(200008)20:7<661::AID-FUT3>3.0.CO;2-R

Hamilton, 2009, Understanding crude oil prices, Energy Journal, 30, 179, 10.5547/ISSN0195-6574-EJ-Vol30-No2-9

Hammoudeh, 2004, The impact of the Asian crisis on the behavior of US and international petroleum prices, Energy Economics, 26, 135, 10.1016/S0140-9883(03)00046-X

Hammoudeh, 2005, Oil sensitivity and systematic risk in oil-sensitive stock indices, Journal of Economics and Business, 57, 1, 10.1016/j.jeconbus.2004.08.002

Hillebrand, 2005, Neglecting parameter changes in GARCH models, Journal of Econometrics, 129, 121, 10.1016/j.jeconom.2004.09.005

Hong, 1996, Testing for independence between two covariance stationary time series, Biometrika, 83, 615, 10.1093/biomet/83.3.615

Hong, 2001, A test for volatility spillover with application to exchange rates, Journal of Econometrics, 103, 183, 10.1016/S0304-4076(01)00043-4

Jammazi, 2012, Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach, Energy, 37, 430, 10.1016/j.energy.2011.11.011

Javed, 2015, Sensitivity of the causality in variance tests to GARCH(1, 1) processes, Chilean Journal of Statistics, 6, 49

Johnson, 2009, Commodity prices and stock market behavior in South American countries in the short run, Emerging Markets Finance and Trade, 45, 69, 10.2753/REE1540-496X450405

Jones, 1996, Oil and the stock markets, Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x

Joo, 2017, Oil prices and stock markets: Does the effect of uncertainty change over time?, Energy Economics, 61, 42, 10.1016/j.eneco.2016.10.017

Kang, 2011, Structural changes and volatility transmission in crude oil markets, Physica A: Statistical Mechanics and its Applications, 390, 4317, 10.1016/j.physa.2011.06.056

Kang, 2013, Oil shocks, policy uncertainty and stock market return, Journal of International Financial Markets, Institutions and Money, 26, 305, 10.1016/j.intfin.2013.07.001

Khalifa, 2015, Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle, Energy Policy, 87, 72, 10.1016/j.enpol.2015.08.039

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

Korkmaz, 2012, Return and volatility spillovers among CIVETS stock markets, Emerging Markets Review, 13, 230, 10.1016/j.ememar.2012.03.003

Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y

Le, 2015, Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?, Energy Economics, 51, 261, 10.1016/j.eneco.2015.06.019

MacKinnon, 1996, Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601, 10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T

Maghyereh, 2016, The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes, Energy Economics, 57, 78, 10.1016/j.eneco.2016.04.010

McConnell, 2000, Output fluctuations in the United States: What has changed since the early 1980?, American Economic Review, 90, 1464, 10.1257/aer.90.5.1464

McMillan, 2011, Structural breaks in volatility: The case of UK sector returns, Applied Financial Economics, 21, 1079, 10.1080/09603107.2011.564131

Mensi, 2017, Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method, Journal of Banking and Finance, 75, 258, 10.1016/j.jbankfin.2016.11.017

Mensi, 2015, Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate, Energy Economics, 48, 46, 10.1016/j.eneco.2014.12.004

Ministry of Development Planning and Statistics, 2016

Mohammadi, 2011, Long-run relations and short-run dynamics among coal, natural gas and oil prices, Applied Economics, 43, 129, 10.1080/00036840802446606

Mohanty, 2010, Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors, Emerging Markets Review, 11, 358, 10.1016/j.ememar.2010.06.002

Newey, 1987, A simple positive definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610

Nick, 2014, What drives natural gas prices? — A structural VAR approach, Energy Economics, 45, 517, 10.1016/j.eneco.2014.08.010

Oberndorfer, 2009, Energy prices, volatility, and the stock market: Evidence from the Eurozone, Energy Policy, 37, 5787, 10.1016/j.enpol.2009.08.043

Ordu, 2016, The relationship between energy commodity prices and electricity and market index performances: Evidence from an emerging market, Emerging Markets Finance and Trade, 52, 2149, 10.1080/1540496X.2015.1068067

Pantelidis, 2004, Testing for Granger causality in variance in the presence of causality in mean, Economics Letters, 85, 201, 10.1016/j.econlet.2004.04.006

Park, 2008, Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30, 2587, 10.1016/j.eneco.2008.04.003

Rodrigues, 2007, Testing for causality in variance under nonstationarity in variance, Economics Letters, 97, 133, 10.1016/j.econlet.2007.02.032

Sahu, 2014, An empirical study on the dynamic relationship between oil prices and Indian stock market, Managerial Finance, 40, 200, 10.1108/MF-06-2013-0131

Sensier, 2004, Testing for volatility changes in U.S. macroeconomic time series, The Review of Economics and Statistics, 86, 833, 10.1162/0034653041811752

Serletis, 2006, Returns and volatility in the NYMEX Henry Hub natural gas futures market, OPEC Energy Review, 30, 171, 10.1111/j.1468-0076.2006.00167.x

Soucek, 2013, Economic significance of oil price changes on Russian and Chinese stock markets, Applied Financial Economics, 23, 561, 10.1080/09603107.2012.732685

Tamakoshi, 2014, Spillovers among CDS indexes in the US financial sector, North American Journal of Economics and Finance, 27, 104, 10.1016/j.najef.2013.12.001

U.S. Energy Information Administration, 2014

Van Dijk, 2005, Testing for causality in variance in the presence of breaks, Economics Letters, 89, 193, 10.1016/j.econlet.2005.05.029

Wang, 2008, Realized volatility and correlation in energy futures markets, The Journal of Futures Markets, 28, 993, 10.1002/fut.20347

World Energy Council, 2016