Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis

Document Type

Article

Source of Publication

European Journal of Finance

Publication Date

1-1-2020

Abstract

© 2020 Informa UK Limited, trading as Taylor & Francis Group. This paper explores the static and dynamic connectedness between oil price shocks (risk, demand and supply shocks) and Spanish sector equity indices from January-2000 to July-2019. We document sizable system-wide connectedness between the variables under study. Among the oil shocks, demand and risk shocks are the main transmitter (receiver) of shocks to (from) the system and are overall net receiver of shocks from the system. Among the equity indices, Industrials, Financials, Utilities and Telecommunications as the major net transmitters whereas; Consumer Goods, Technology, Retail and Telecommunications are the main net receivers. The dynamic connectedness changes over time and between sectors. We document important differences over time and between sectors, mainly during the recent global financial crisis and the European sovereign debt crisis. Overall, Financials, Telecommunications, Industrials and Utilities as the most influential sectors.

ISSN

1351-847X

Publisher

Informa UK Limited

Last Page

17

Disciplines

Business

Keywords

Connectedness, Oil price, Sector analysis, Spanish stock market

Scopus ID

85097392275

Indexed in Scopus

yes

Open Access

no

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