期刊论文

Zhou, Zhongbao

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2021

57

101398

10.1016/j.najef.2021.101398

We use weekly prices of the international stock index (Chinese Shanghai stock index, S&P 500 index and Stoxx European 600 index) and weekly prices of the global crude oil market (WTI, Brent, and Dubai). Among them, the Shanghai Stock Exchange has initially formed a multilevel blue-chip stock market with large blue-chip enterprises as the main part and small and medium-sized enterprises as the common development. It is the fastest growing emerging stock market in the world. Therefore, we choose

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This paper investigates risk spillovers and hedge strategies between global crude oil markets and stock markets. In the paper, we propose a multivariate long memory and asymmetry GARCH framework that integrates state-dependent regime switching in the mean process with multivariate long memory and asymmetry GARCH in the variance process. Our results first show that there are linear risk spillovers running from the US stock markets to the WTI oil market in the short term. However, the linear risk spillover effect running from the oil market to the US stock market can only exist in the long term....