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- W2988753747 abstract "The goal of this paper is to check existence of Granger causality in risk between eleven European stock markets and crude oil market. We analyze bidirectional instantaneous and delayed Granger causality in tails test results, i.e. whether occurrence of the extreme returns on the crude oil market precede similar events on the main European stock markets and vice versa. Using Brent futures prices and main stock indices in Europe (Belgium, France, Germany, Greece, Italy, Netherlands, Norway, Poland, Spain, Sweden and United Kingdom), we apply testing procedure developed by Candelon and Tokpavi (2016). The main conclusion is that in the vast majority of cases instantaneous causality in tails was symmetrical. We also found that more long-lived reaction appeared as a result to the negative news from the oil market and from the stock markets." @default.
- W2988753747 created "2019-11-22" @default.
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- W2988753747 date "2019-10-01" @default.
- W2988753747 modified "2023-09-23" @default.
- W2988753747 title "Oil Prices and Stock Markets in Europe: Detection of Extreme Risk Spillover" @default.
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- W2988753747 doi "https://doi.org/10.5817/fai2019-1-3" @default.
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