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- W3136556917 abstract "Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching-copula-extreme value theory (MRS-copula-EVT) model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model, which characterizes the complex dynamics in lower tail dependence, is applied to daily returns on the crude oil price and major stock indices in both the United States and China's markets over a series of major extreme downside risk events, including the most recent 2020 oil and stock market crashes after the outbreak of COVID-19 pandemic. The proposed model outperforms the alternative model in detecting financial contagion, showing that such contagion is shorter but stronger in the United States than in China; moreover, financial contagion is more susceptible to extreme downside shocks between the oil and stock markets in the United States than in China. In addition, the COVID-19 crisis shows the largest financial contagion compared with previous crises. Our results remain consistent following extensive robustness tests. These findings shed new light on our understanding of financial contagion and provide important insights and guidance for asset allocation and risk management." @default.
- W3136556917 created "2021-03-29" @default.
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- W3136556917 date "2020-01-01" @default.
- W3136556917 modified "2023-09-27" @default.
- W3136556917 title "The Dynamics of Cross-Boundary Fire - Financial Contagion between the Oil and Stock Markets" @default.
- W3136556917 doi "https://doi.org/10.2139/ssrn.3679656" @default.
- W3136556917 hasPublicationYear "2020" @default.
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