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Oil and stock markets before and after financial crises: A local Gaussian correlation approach
Author(s) -
Bampinas Georgios,
Panagiotidis Theodore
Publication year - 2017
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21860
Subject(s) - stock (firearms) , financialization , financial crisis , economics , financial economics , futures contract , financial market , stock market , oil price , monetary economics , finance , geography , macroeconomics , context (archaeology) , archaeology
The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like “a market of one” after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.