Analyzing Overnight Momentum Transmission: The Impact of Oil Price Volatility on Global Financial Markets

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2024-07-30 DOI:10.3390/ijfs12030075
Huthaifa Sameeh Alqaralleh
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Abstract

Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader influence on global financial markets, remains elusive. This study delves into the intricate mechanics of overnight momentum transmission within financial markets, focusing on its origin in oil price fluctuations and its overarching impact on market dynamics. Employing the quantile VAR method, we analyze daily market data from 3 January 2014 to 17 January 2024. This study emphasizes the significance of overnight momentum on the transmission of volatility, particularly in the tails of the distribution, and highlights the necessity for efficient strategies to govern financial stability. The shale oil revolution, COVID-19, the Russia–Ukraine war, and the Israel–Hamas conflict have significantly impacted the interconnectivity of financial markets on a global scale. It is crucial for policymakers to give priority to the monitoring of the energy market to reduce risks and improve the resilience of the system.
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分析隔夜动量传递:油价波动对全球金融市场的影响
石油价格的波动对实体经济和国际金融市场都有重大影响。尽管对石油市场动态和隔夜动量进行了广泛的研究,但对油价变化与能源市场动量之间的联系及其对全球金融市场的广泛影响的全面理解仍然遥不可及。本研究深入探讨了隔夜动量在金融市场中传播的复杂机制,重点关注其在油价波动中的起源及其对市场动态的总体影响。我们采用量化 VAR 方法,分析了 2014 年 1 月 3 日至 2024 年 1 月 17 日的每日市场数据。这项研究强调了隔夜动量对波动性传导的重要性,尤其是在分布的尾部,并突出了治理金融稳定的高效策略的必要性。页岩油革命、COVID-19、俄乌战争和以色列-哈马斯冲突极大地影响了全球金融市场的互联性。决策者必须优先考虑对能源市场的监控,以降低风险并提高系统的复原力。
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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