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Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?
16 references·1 citing·46 second hop
Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks? (2020)Do the crude oil futures of the Shanghai …Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…A five-factor asset pricing model (2014)A five-factor asset pricing m…Financialization of Commodity Markets (2013)Financialization of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…New evidence on oil price and firm returns (2011)New evidence on oil price and…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)Common and fundamental factor…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Risk factors in stock returns of Canadian oil and gas companies (2001)Risk factors in stock returns…Oil and the Stock Markets (1996)Oil and the Stock MarketsRelationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective (2020)Relationships and portfolios …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)On the links between stock and commodity markets' volatility (2013)Speculators, commodities and cross-market linkages (2013)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Does oil move equity prices? A global view (2007)Crude oil and stock markets: Stability, instability, and bubbles (2009)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)A Model of Financialization of Commodities (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil prices, US stock return, and the dependence between their quantiles (2015)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)“Options, Futures, and Other Derivatives” (2016)The Limits of Arbitrage (1995)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Extrapolation and bubbles (2018)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Digesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)The Long Green Revolution (2012)
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References

  • 2014A five-factor asset pricing model7,841 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
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  • 2001Risk factors in stock returns of Canadian oil and gas companies653 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2008Striking oil: Another puzzle?616 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2011New evidence on oil price and firm returns534 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2006

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Common and fundamental factors in stock returns of Canadian oil and gas companies
473 cited

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  • 2020Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective48 cited