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Title: Oil and stock markets before and after financial crises: A local Gaussian correlation approach
Authors: Bampinas, Georgios
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business
Issue Date: 2017
Publisher: Wiley
Source: Journal of Futures Markets
Volume: 37
Issue: 12
First Page: 1179
Last Page: 1204
Abstract: The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like “a market of one” after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.
ISSN: 0270-7314
Other Identifiers: 10.1002/fut.21860
Appears in Collections:Department of Economics

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