Muhammad Abubakr Naeem , Raazia Gul , Ahmet Faruk Aysan , Umar Kayani
{"title":"Oil shocks and the transmission of higher-moment information in US industry: Evidence from an asymmetric puzzle","authors":"Muhammad Abubakr Naeem , Raazia Gul , Ahmet Faruk Aysan , Umar Kayani","doi":"10.1016/j.bir.2024.07.005","DOIUrl":null,"url":null,"abstract":"<div><div>Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1190-1204"},"PeriodicalIF":6.3000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S221484502400111X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.
期刊介绍：
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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