Abstract
This study seeks to investigate the extreme risk spillovers from crude oil to four major Asian stock markets from a market sentiment perspective. A copula-CoVaR (Conditional Value-at-Risk) approach is adopted to construct a dynamic network to capture the contributions of different types of market sentiment to the evolution of oil-stock risk nexus. The empirical evidence shows the presence of significant risk spillover effects from crude oil to equity markets. The dynamics of the oil-to-stock risk spillovers is shown to be significantly driven by market sentiments, mainly market fears in both stock markets and crude oil market triggered by prominent systemic events. As an extreme event unfolds, the oil-to-stock risk spillover dynamics is increasing susceptible to escalating market fears.
Notes
1 In terms of the selection of the H, more discussions can be seen in Zhang (Citation2017).
2 Results based on the 99% confidence level are not reported here but available upon request.
3 According to the global crude oil export data released by the UN Comtrade in 2018, China, India, Japan and South Korea accounted for 35.42% of global imports of crude oil, of which China, India, Japan and South Korea accounted for 15.71%, 9.59%, 5.07% and 5.05%, respectively.
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Notes on contributors
Fei Wu
Fei Wu is currently an associate professor at the Southwestern University of Finance and Economics, China. Her research interest includes empirically modelling of systemic risk and its contagion in financial markets, as well as topics of systemic risk in commodity markets, energy finance, and banking.
Qiang Ji
Qiang Ji is deputy director of Institute of System Analysis and Management in Institutes of Science and Development, Chinese Academy of Sciences (ISDCAS). He engaged in the research of energy and climate finance, energy strategic management, big data and energy prediction. He is the co-founder of China Energy Finance Network, Vice President of International Society for Energy Transition Studies and Society for the Studies of Climate Finance. He was a founding editor of Journal of Climate Finance and served as senior editors, associate editors and guest editors for a series of energy and financial journals.
Yan-Ran Ma
Yan-Ran Ma is currently an assistant Professor of Institutes of Science and Development, Chinese Academy of Sciences. Her research focuses on climate finance, energy finance, and quantitative analysis and forecast on energy market.
Dayong Zhang
Dayong Zhang is currently a Professor of Financial Economics at Southwestern University of Finance and Economics (China). His research interests cover energy finance, climate finance, banking and finance, and general economic and financial issues in emerging economies. He is the co-founder of China Energy Finance Network, the president of the Society for the Studies of Climate Finance (SSCF) in China, vice president of International Society for Energy Transition Studies (ISETS), the founding editor of Journal of Climate Finance.