Causality-in-quantiles between crude oil and stock markets: Evidence from emerging economies

Bhatia, Vaneet and Basu, Sankarshan (2021) Causality-in-quantiles between crude oil and stock markets: Evidence from emerging economies. Finance Research Letters, 40: 101736. ISSN 15446131

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This study investigates the asymmetric effect of crude oil shocks on emerging sectoral stock indices using a non-parametric causality-in-quantiles approach. This study considers the origin of the oil shock i.e. demand shock or supply shock to investigate its impact on various sectors in mean and volatility. We find that the impact of crude oil is heterogeneous across shocks (demand or supply), market states (bullish, bearish and normal) and to a limited extent across sectors. Observing a similar pattern of crude oil's impact on emerging sectors, we argue that the influence of crude oil shocks extends beyond energy-intensive sectors.

Item Type: Article
Keywords: Crude oil | Stock markets | Demand shock | Supply shock | Causality-in-quantiles
Subjects: Social Sciences and humanities > Business, Management and Accounting > Industrial relations
Social Sciences and humanities > Economics, Econometrics and Finance > Economics
JGU School/Centre: Jindal School of Banking & Finance
Depositing User: Mr. Syed Anas
Date Deposited: 17 Jan 2022 15:01
Last Modified: 27 Jan 2022 11:17
Official URL:
Additional Information: Authors are thankful to Editor-in-Chief, Dr Samuel Vigne and the anonymous reviewer for constructive comments and suggestions.


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