Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?

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dc.citation.volume31
dc.contributor.authorBalli F
dc.contributor.authorO Balli H
dc.contributor.authorNguyen TTH
dc.date.accessioned2024-06-11T02:19:00Z
dc.date.available2024-06-11T02:19:00Z
dc.date.issued2023-09
dc.description.abstractThe paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.
dc.description.confidentialfalse
dc.edition.editionSeptember 2023
dc.identifier.citationBalli F, O Balli H, Nguyen TTH. (2023). Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?. Journal of Commodity Markets. 31.
dc.identifier.doi10.1016/j.jcomm.2023.100348
dc.identifier.eissn2405-8505
dc.identifier.elements-typejournal-article
dc.identifier.issn2405-8513
dc.identifier.number100348
dc.identifier.piiS2405851323000387
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69772
dc.languageEnglish
dc.publisherElsevier B V
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S2405851323000387
dc.relation.isPartOfJournal of Commodity Markets
dc.rights(c) 2023 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectConnectedness
dc.subjectFrequency connectedness
dc.subjectOil & gas sector
dc.subjectProfitability
dc.subjectSolvency ratio
dc.titleDynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?
dc.typeJournal article
pubs.elements-id479714
pubs.organisational-groupOther
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