| 正文 | This paper investigates the spillovers of extreme risks between crude oil and stock markets using daily data of the
S&P 500 stock index and West Texas Intermediate (WTI) crude oil futures returns. Based on the method of
Granger causality in risk, Value at Risk (VaR) is employed to measure market risk, and a class of kernel-based
tests is used to detect negative and positive risk spillover effects. Empirical results reveal that there are significant
risk spillovers between the two markets. Extreme movements, past or current, in one market may have a significant
predictive power for those in the other market. Prior to the recent financial crisis, there are positive risk
spillovers from stock market to crude oil market, and negative spillovers from crude oil market to stock market.
After the financial crisis, bidirectional positive risk spillovers are strengthened markedly. The risk spillovers may
occur instantaneously, and/or with a (long) time delay. Both positive and negative risk spillover effects exhibit
asymmetric correlations. |
