Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2025-01-28 DOI:10.1016/j.ribaf.2025.102790

Yaling Chen , Huiming Zhu , Yinpeng Liu

{"title":"Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method","authors":"Yaling Chen , Huiming Zhu , Yinpeng Liu","doi":"10.1016/j.ribaf.2025.102790","DOIUrl":null,"url":null,"abstract":"<div><div>This paper combines the MODWT method with the vine-copula model to explore the dependence and contagion of extreme risk between WTI crude oil, clean energy, and US stock market. The results indicate that in the original return, the impact of US stocks reinforces the dependence between WTI crude oil and clean energy. After removing the risk effect of covariates, the risk contagion from WTI crude oil to clean energy and US stocks is smaller than their extreme risk contagion to WTI crude oil. Furthermore, different investment time scales have different risk contagion profiles. For example, the contagion of risk between WTI crude oil, clean energy and the US stock market is significantly tighter on the medium-run time scale, while on the short-run time scale, there is no significant risk contagion from WTI crude oil to either clean energy or US stocks. Finally, asymmetric effects are very common on the downside and upside risk-contagious surface, with WTI crude oil being more vulnerable to risk contagion from US stocks than clean energy.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"75 ","pages":"Article 102790"},"PeriodicalIF":6.3000,"publicationDate":"2025-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531925000467","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

This paper combines the MODWT method with the vine-copula model to explore the dependence and contagion of extreme risk between WTI crude oil, clean energy, and US stock market. The results indicate that in the original return, the impact of US stocks reinforces the dependence between WTI crude oil and clean energy. After removing the risk effect of covariates, the risk contagion from WTI crude oil to clean energy and US stocks is smaller than their extreme risk contagion to WTI crude oil. Furthermore, different investment time scales have different risk contagion profiles. For example, the contagion of risk between WTI crude oil, clean energy and the US stock market is significantly tighter on the medium-run time scale, while on the short-run time scale, there is no significant risk contagion from WTI crude oil to either clean energy or US stocks. Finally, asymmetric effects are very common on the downside and upside risk-contagious surface, with WTI crude oil being more vulnerable to risk contagion from US stocks than clean energy.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

求助全文

约1分钟内获得全文去求助

来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance