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https://ruomo.lib.uom.gr/handle/7000/356
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 S&P500 Petroleum complex Futures-spot price spread S&P500 Speculation |
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. |
URI: | https://doi.org/10.1016/j.eneco.2016.02.001 https://ruomo.lib.uom.gr/handle/7000/356 |
ISSN: | 01409883 |
Other Identifiers: | 10.1016/j.eneco.2016.02.001 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
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Energy2016_KMP.pdf | Energy2016_KMP | 456,5 kB | Adobe PDF | View/Open |
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