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- W2982695629 abstract "This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities." @default.
- W2982695629 created "2019-11-08" @default.
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- W2982695629 date "2019-10-29" @default.
- W2982695629 modified "2023-09-24" @default.
- W2982695629 title "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets" @default.
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- W2982695629 doi "https://doi.org/10.3390/en12214123" @default.
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