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Journal article
Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7+1): New evidence from cross-quantilogram approach
International journal of finance and economics
18 Oct 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We examine the directional predictability of energy stock returns on exchange rates and stock market in the E7 + 1 emerging market economies, which include India, China, Indonesia, South Korea, Turkey, Brazil, Mexico, and Russia, over the period 4 January 2000 to 31 May 2018. To achieve this, we carried out a cross-quantile analysis in the static and dynamic frameworks, using the bi-variate cross-quantilogram (CQ) and the partial cross-quantilogram (PCQ) approaches and a dynamic variant of such approaches. The predictability of the stock returns on the energy prices for WTI, Brent, OPEC, heating oil and natural gas is examined. Further relationships are also conditioned by using two measures of geopolitical risk, including the general geopolitical risk (GPRD), and the geopolitical risk threats (GPRD_Threat). The overall results highlight the importance of employing the PCQ approach in examining the predictability of different pairs of the energy prices, exchange rates and stock markets. They also indicate that controlling for GPRD and GPRD_Threat significantly improves the predictability of these variables. Policy implications of the empirical findings have been elaborated and discussed.
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Details
- Title
- Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7+1): New evidence from cross-quantilogram approach
- Creators
- Aviral Kumar Tiwari - RajagiriMuhammad Shahbaz - Center for Energy and Environmental Policy Research Beijing Institute of Technology Beijing ChinaRabeh Khalfaoui - University of LorraineRizwan Ahmed - University of KentShawkat Hammoudeh - Drexel University
- Publication Details
- International journal of finance and economics
- Publisher
- Wiley
- Number of pages
- 71
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000869624700001
- Scopus ID
- 2-s2.0-85140047766
- Other Identifier
- 991019219514304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance