Crude oil and stock markets: Causal relationships in tails?

This paper considers the causal relationships between WTI and Dubai crude oil returns and five stock index returns (S&P 500, Nikkei, Hang Seng, Shanghai, and KOSPI) within the quantile causality framework by using daily data for a period from January 1, 1996, to October 12, 2012. The quantile ca...

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Veröffentlicht in:	Energy economics 2016-09, Vol.59, p.58-69
Hauptverfasser:	Ding, Haoyuan, Kim, Hyung-Gun, Park, Sung Y.
Format:	Artikel
Sprache:	eng
Schlagworte:	Causality Crude oil Crude oil returns Dubai United Arab Emirates Energy economics Markets Oil Petroleum Quantile regression Quantiles Securities markets Stock exchanges Stock indexing Stock returns Studies
Online-Zugang:	Volltext
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