This paper uses the dynamic connectedness framework to investigate the interrelationship between the decomposed oil supply, demand and risk shocks that Ready (2018) developed and the stock market returns of emerging market economies. For this purpose, we use daily data from 11 October 2001 to 5 April 2021. Novel empirical methodologies, including wavelet quantile correlation (WQC), cross-quantilogram analysis, nonparametric causality-in-quantile approaches, contemporaneous R2 connectedness approach and generalized R2 connectedness approaches, are employed. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies, reflecting historical events. Demand price shocks are regarded as net transmitters within the system, whereas supply and risk price shocks are net receivers of spillovers. Concurrently, our findings indicate a considerable degree of dynamic connectedness among the stock markets of emerging market economies. In particular, the stock markets of Brazil, Mexico, and Argentina have been identified as net transmitters of spillovers. In contrast, the stock markets of Turkey, South Korea, Malaysia, Indonesia and India are classified as net receivers of spillovers. Furthermore, we examine and document the advantages of diversified portfolios that include all sector indices, including oil price shocks and emerging market economy stock markets, in terms of portfolio performance. The insights offered here are valuable for investors and policymakers striving to enhance their strategic approaches in today's interconnected global financial context. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies and reflect historical events. Demand shocks affecting the stock market indices of Brazil, Argentina and Mexico tend to act as net spillover transmitters. In contrast, supply shocks affecting the stock market indices of Indonesia, South Korea, India, Turkey and Malaysia mainly act as net spillover receivers. Net pairwise interconnectedness analysis reveals that, except for crisis periods, interactions between financial markets or macroeconomic indicators are evenly distributed. Thus, systemic risk is lower, and markets act independently. Empirical findings obtained using WQC generally show the presence of negative correlations at long-time scales and low quantiles, which is considered an indicator of the safe-haven feature associated with the asset in question. The hedge feature is observed to be evident only at long time scales. The results of the cross-quantilogram analysis show mixed evidence of correlation in all stock indices, especially in the weekly lag structure, compared to daily and monthly lags. Finally, non-parametric Granger causality test results show that stock returns are insensitive to oil price fluctuations, making these markets attractive for investors seeking diversification strategies. These findings provide valuable recommendations for investors seeking sustainable equities in a volatile oil market.

中文翻译：

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油价冲击与新兴市场经济体股票市场之间的动态联系——来自新方法的证据


本文使用动态连通性框架来研究 Ready （2018） 开发的分解石油供需和风险冲击与新兴市场经济体股票市场回报之间的相互关系。为此，我们使用 2001 年 10 月 11 日至 2021 年 4 月 5 日的每日数据。采用新颖的经验方法，包括小波分位数相关 （WQC）、交叉量子图分析、非参数分位数因果关系方法、同期 R2 连通性方法和广义 R2 连通性方法。结果表明，油价波动对新兴市场经济体的经济表现产生重大影响，反映了历史事件。需求价格冲击被视为系统内的净发射器，而供应和风险价格冲击是溢出效应的净接收器。同时，我们的研究结果表明，新兴市场经济体的股票市场之间存在相当程度的动态关联性。特别是，巴西、墨西哥和阿根廷的股票市场已被确定为溢出效应的净传播者。相比之下，土耳其、韩国、马来西亚、印度尼西亚和印度的股票市场被归类为溢出效应的净接收者。此外，我们研究并记录了包括所有行业指数（包括油价冲击和新兴市场经济股票市场）在内的多元化投资组合在投资组合表现方面的优势。本文提供的见解对于在当今相互关联的全球金融环境中努力加强其战略方法的投资者和政策制定者来说非常有价值。结果表明，油价波动对新兴市场经济体的经济表现产生重大影响，并反映了历史事件。 影响巴西、阿根廷和墨西哥股市指数的需求冲击往往是净溢出发射器。相比之下，影响印度尼西亚、韩国、印度、土耳其和马来西亚股市指数的供应冲击主要充当净溢出接收器。净成对互连性分析显示，除危机时期外，金融市场或宏观经济指标之间的交互是均匀分布的。因此，系统性风险较低，市场独立运作。使用 WQC 获得的经验结果通常表明，在长期尺度和低分位数上存在负相关，这被认为是与相关资产相关的避险特征的指标。观察到 hedge 特征仅在长时间尺度上很明显。交叉量子图分析的结果显示，与每日和每月滞后相比，所有股票指数的相关性混合，尤其是在每周滞后结构中。最后，非参数格兰杰因果关系检验结果表明，股票回报对油价波动不敏感，这使得这些市场对寻求多元化策略的投资者具有吸引力。这些发现为在动荡的石油市场中寻求可持续股票的投资者提供了宝贵的建议。