Intraday quantile coherence between oil and European sectors during the Russia-Ukraine war
Date
2024
Authors
Hanif, W.
El Khoury, R.
Kang, S.
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Applied Economics Letters, online, 2024; online(7):1-13
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Abstract
This study examines the interconnectedness between crude oil and European sectors during the Russia-Ukraine conflict. Using a quantile coherence approach, we investigate the intraday dynamics of market interactions at different quantiles and frequencies. The findings reveal that in the short-term, oil emerges as a robust hedge for 12 sectors in stable market conditions, transitioning to a weaker hedge during bullish and bearish market conditions. Furthermore, the long-term analysis shows a stronger coherence between oil and stock sector indices. The medium-term and long-term analyses reveal shifts in dependence structures, with oil acting as a safe haven in bullish markets for specific sectors. These findings provide valuable insights for investors and policymakers in managing risks amid geopolitical events, contributing to the existing literature on oil-European sector dynamics.
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Copyright 2024 Informa UK Limited, trading as Taylor & Francis Group