Please use this identifier to cite or link to this item:
Title: Does the S&P500 index lead the crude oil dynamics? A complexity-based approach
Authors: Kyrtsou, Catherine
Mikropoulou, Christina
Papana, Angeliki
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
FRASCATI::Social sciences::Economics and Business::Econometrics
Keywords: Nonlinear causality
Petroleum complex
Futures-spot price spread
Issue Date: May-2016
Source: Energy Economics
Volume: 56
First Page: 239
Last Page: 246
Abstract: Taking the complex property of nonlinear feedback connectivity into consideration, the goal of this paper is to apprehend the interdependences between the financial and energy sectors. Our contribution is both theoretical and methodological. We conduct a multivariate analysis employing nonlinear tools, namely the Partial Transfer Entropy and the Asymmetric Mackey-Glass causality test. In particular, we build a system comprising the petroleum complex (crude oil, gasoline and heating oil), the S&P500 index and the 1-month futures-spot spread for crude oil. By adopting a rolling-window approach, we observe a persistent lead-lag relationship between the S&P500 index and the market participants' expectations for crude oil, from 2004 to 2009. Depending on the bubble period in the stock market, it appears that the resulting coupling becomes subject to the deterioration of global economic activity, induced by large common shocks.
ISSN: 01409883
Other Identifiers: 10.1016/j.eneco.2016.02.001
Appears in Collections:Department of Economics

Files in This Item:
File Description SizeFormat 
Energy2016_KMP.pdfEnergy2016_KMP456,5 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.