PropertyValue
?:abstract
  • In this study, we employ both the spillover index of Diebold and Yilmaz [1], and the wavelet coherence approaches to investigate the impacts of return spillovers and dynamic time-frequency linkages between crude oil prices and five developed stock markets in Europe (the United Kingdom, Spain, Italy, German, and France) in the pre and during Covid-19 outbreak periods The results highlight that IBEX and CAC series are net recipients of risks, while the other assets are a net transmitter of shocks in the pre-Covid-19 period In contrast to the results for the pre-Covid-19 period, LSE, CAC, and IBEX are the net recipients of return spillovers, reaching a maximum level of about 23% during the Covid-19 outbreak Specifically, in comparison with the pre-Covid-19 period, the return transmission is more apparent during the Covid-19 crisis More importantly, there exist significant dependent patterns about the information spillovers, and time-frequency linkages between crude oil and five major stock markets might provide urgent prominent implications for portfolio managers, investors, and government agencies
is ?:annotates of
?:creator
?:journal
  • Aims_Energy
?:license
  • unk
?:publication_isRelatedTo_Disease
?:source
  • WHO
?:title
  • Dynamic spillover effects between oil prices and stock markets: New evidence from pre and during COVID-19 outbreak
?:type
?:who_covidence_id
  • #914591
?:year
  • 2020

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