期刊论文

Jiang, Yong

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2019

50

101035

10.1016/j.najef.2019.101035

We gratefully acknowledge the financial support from the Hunan Education Department of Foundation of China (Nos. 18C0172), the National Natural Science Foundation of China (Nos. 71771082 , Nos. 71371067 , Nos. 71431008 ), the National Social Science Foundation of China (Nos. 17CJY040 ), Hunan Provincial Natural Science Foundation of China (Nos. 2017JJ1012 ) and China futures Association Joint Research Program Subsidies.

本校为第一机构

In this paper, we investigate the risk contagion among the Brent crude oil market, London gold market and stock markets (Chinese and European). In the paper, we employ the CEEMDAN method and fine to coarse algorithms to decompose these market returns into different components. Then, we use the Granger causality test to assess the risk contagion between these markets under different time and frequency components. The results show that single direction risk contagion running from the Brent crude oil market and the London gold market to the stock ...