برآورد ریسک سیستمی پویا و سرریز تلاطمات بازار نفت بر بازار سهام کشورهای عضو اوپک پلاس؛ رویکرد QVAR

Aloui, R., Aïssa, M. S., & Ben Nguyen, D. K. (2011). Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure?  Journal of Banking and Finance, 35, 130-141.

Antonakakis, N., Adekoya, O., Akinseye, A., Chatziantoniou, I., Gabauer, D., & Oliyide, J. (2022). Crude Oil and Islamic Sectoral Stocks: Asymmetric TVP-VAR Connectedness and Investment Strategies. Resources Policy, 78, 102877.

Antonakakis, N., Chatziantoniou, I., & Filis, G. (2017). Oil Shocks and Stock Markets: Dynamic Connectedness under the Prism of Recent Geopolitical and Economic Unrest. International Review of Financial Analysis, 50, 1-26.

Arouri, M. E. H., & Nguyen, D. K. (2010). Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade. Energy Policy, 38(8), 4528-4539.

Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2011). Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries. Economic Modelling, 28(4), 1815-1825.

Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the Impacts Of Oil Price Fluctuations On European Equity Markets: Volatility Spillover And Hedging Effectiveness. Energy Economics, 34(2), 611-617.

Awartani, B., & Maghyereh, A. I. (2013). Dynamic Spillovers between Oil and Stock Markets in the Gulf Cooperation Council Countries. Energy Economics, 36(C), 28-42.

Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil Futures Contracts And Commodity Markets: New Evidence From A TVP-VAR Extended Joint Connectedness Approach. Resources Policy, 73, 102219.

Basher, S. A., & Sadorsky, P. (2006), Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17, 224-251.

Basher, S. A., Haug, A., & Sadorsky, P. (2012). Oil Prices, Exchange Rates And Emerging Stock Markets. Energy Economics, 34, 227-240.

Bjørnland, H. C. (2009). Oil Price Shocks and Stock Market Booms in an Oil Exporting Country. Scottish Journal of Political Economy, 56(2), 232–254.

Boldanov, R., Degiannakis, S., & Filis, G. (2016). Time-varying Correlation between Oil and Stock Market Volatilities: Evidence From Oil-Importing And Oil-Exporting Countries. International Review of Financial Analysis, 48, 209-220.

Bouri, E., & Demirer, R. (2016). On the Volatility Transmission Between Oil and Stock Markets: A Comparison of Emerging Importers and Exporters. Economia Politica, 33, 63-82.

Bouri, E., Awartani, B., & Maghyereh, A. (2016). Crude Oil Prices and Sectoral Stock Returns in Jordan around the Arab Uprising of 2010. Energy Economics, 56, 205-214.

Broadstock, D. C., & Filis, G. (2014). Oil Price Shocks and Stock Market Returns: New Evidence from the United States and China. Journal of International Financial Markets, Institutions and Money, 33(C), 417-433.

Brown, S. P., & Yucel, M. K. (1999). Oil Prices and US Aggregate Economic Activity: a Question of Neutrality. Economic & Financial Policy Review, 16-23.

Chittedi, K.R. (2012). Do Oil Prices Matters for Indian Stock Markets? An Empirical Analysis. Journal of Applied Economics and Business, 2, 2-10.

Chang, B., Sharif, A., Aman, A., Suki, N., Salman, A., & Rehman Khan, S. (2020). The Asymmetric Effects of Oil Price on Sectoral Islamic Stocks: New Evidence from Quantile-On-Quantile Regression Approach. Resources Policy, 65, 101571.

Chatziantoniou, I., & Gabauer, D. (2021). EMU Risk-Synchronization and Financial Fragility through the Prism of Dynamic Connectedness. The Quarterly Review of Economics and Finance, 79, 1-14.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.

Dai, Zh., Zhu, H., & Zhang, X. (2022). Dynamic Spillover Effects and Portfolio Strategies between Crude Oil, Gold and Chinese Stock Markets Related to New Energy Vehicle. Energy Economics, 109, 105959.

Diebold, F. X., & Yilmaz, K. (2012). Better to Give Than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting, 28(1), 57-66.

---------- (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119, 158-171.

Evrim Mandacı, P., Cagli, E. Ç., & Taşkın, D. (2020). Dynamic Connectedness and Portfolio Strategies: Energy and Metal Markets. Resources Policy, 68, 1-16.

Ewing, B. T., & Malik, F. (2016). Volatility Spillovers between Oil Prices and the Stock Market under Structural Breaks. Global Finance Journal, 29, 12-23

Fisher, I. (1930). The Theory of Interest. New York: Macmillan.

Gabauer, D. (2021). Dynamic Measures of Asymmetric & Pairwise Connectedness Within an Optimal Currency Area: Evidence from the ERM I System. Journal of Multinational Financial Management, 60, 100680.

Gabauer, D. & Gupta, R. (2018). On the Transmission Mechanism of Country Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach. Economics Letter, 171, 63-71.

Hamdi, B., Aloui, M., Alqahtani, F., & Tiwari, A. (2019). Relationship between the Oil Price Volatility and Sectoral Stock Markets in Oil-Exporting Economies: Evidence from Wavelet Nonlinear Denoised Based Quantile and Granger-Causality Analysis. Energy Economics, 80, 536–552.

Hamilton, J. D. (1996). This is What Happened to the Oil Price-Macroeconomy Relationship. Journal of Monetary Economics, 38(2), 215-220.

Hammoudeh, Sh., Mokni, Kh., Ben-Salha, O., & Ajmi, A. (2021). Distributional Predictability between Oil Prices and Renewable Energy Stocks: Is There a Role for the COVID-19 Pandemic? Energy Economics, 103, 105512.

Hassan, K., Hoque, A., & Gasbarro, D. (2019). Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis, Energy Economics, 80, 950-969.

Jin, X. (2015). Volatility Transmission and Volatility Impulse Response Functions among the Greater China Stock Markets. Journal of Asian Economics, 39, 43-58.

Jones, M.C., & Kaul, G. (1996). Oil and the Stock Markets. The Journal of Finance, 51, 463-491.

Jones, D. W., Leiby, P. N., & Paik, I. K. (2004). Oil Price Shocks and the Macroeconomy: What Has Been Learned Since 1996. The Energy Journal, 25(2), 1-32.

Jouini, J. (2013). Return and Volatility Interaction between Oil Prices and Stock Markets in Saudi Arabia. Journal of Policy Modeling, 35(6), 1124-1144.

Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54.

Khalfaoui, R., Sarwar, S., & Tiwari, A. K. (2019). Analyzing Volatility Spillover between the Oil Market and the Stock Market in Oil-Importing and Oil-Exporting Countries: Implications on Portfolio Management. Resources Policy, 62, 22-32.

Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse Response Analysis In Nonlinear Multivariate Models. Journal of Econometrics, 74(1), 119-147

Krugman, P. (1983). Oil Shocks and Exchange Rate Dynamics (259-284). In J. A. Frenkel (Ed.), Exchange Rates and International Macroeconomics. Chicago: University of Chicago Press.

Lean, H., & Badeeb, R. (2018). Asymmetric Impact of Oil Price on Islamic Sectoral Stocks. Energy Economics, 71, 128-139.

Malik, F., & Hammoudeh, Sh. (2007). Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets. International Review of Economics and Finance, 16(3), 357-368.

Malik, F., & Umar, Z. (2019). Dynamic Connectedness of Oil Price Shocks and Exchange Rates. Energy Economics, 84, 1-8.

Markwat, Th., Kole, E., & Dijk, D. (2009). Contagion as a Domino Effect in Global Stock Markets. Journal of Banking & Finance, 33(11), 1996-2012.

Masih, R., Sanjay P., & De Mello, L. (2011). Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea. Energy Economics, 33, 975-986.

Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and Volatility Spillovers across Commodity and Stock Markets: Linking Energies, Food, and Gold. Economic Modelling, 32, 15-22.

Mensi, W., Al Rababa'a, A. R., Vo, V., & Kang, S. H. (2021). Asymmetric Spillover and Network Connectedness between Crude Oil, Gold, and Chinese Sector Stock Markets. Energy Economics, 98, 1-20.

Mokni, K. (2020). Time-varying Effect of Oil Price Shocks on the Stock Market Returns: Evidence From Oil-Importing And Oil-Exporting Countries. Energy Reports, 6, 605-619.

Mokni, K., & Youssef, M. (2019). Measuring Persistence of Dependence between Crude Oil Prices and GCC Stock Markets: A Copula Approach. The Quarterly Review of Economics and Finance, 72, 14–33.

Narayan, P. K., & Bannigidadmath, D. (2015). Are Indian Stock Returns Predictable? Journal of Banking and Finance, 58, 506-531.

Pesaran, H. H., & Shin, Y. (1998). Generalized Impulse Response Analysis In Linear Multivariate Models. Economics Letters, 58(1), 17-29.

Ping, L., Ziyi, Z., Tianna, Y., & Qingchao, Z. (2018). The Relationship among China’s Fuel Oil Spot, Futures and Stock Markets. Finance Research Letters, 24, 151-162.

Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21, 449-469.

Sarwar, S., Tiwari, A. K., & Tingqiu, C. (2020). Analyzing Volatility Spillovers between Oil Market and Asian Stock Markets. Resources Policy, 66, 101608.

Shahzad, S. J. H., Mensi, W., Hammoudeh, S., Rehman, M. U., & Al-Yahyaee, K. H. (2018). Extreme Dependence and Risk Spillovers between Oil and Islamic Stock Markets. Emerging Markets Review, 34, 42-63.

Tiwari, A. K., Jena, S. K., Mitra, A., & Yoon, S. M. (2018). Impact of Oil Price Risk on Sectoral Equity Markets: Implications on Portfolio Management. Energy Economics, 72, 120-134.

Tiwari, A. K., Trabelsi, N., Alqahtani, F., & Hammoudeh, S. (2019). Analyzing Systemic Risk and Time-Frequency Quantile Dependence between Crude Oil Prices and BRICS Equity Markets Indices: A New Look. Energy Economics, 83, 445-466.

Wang, Y., Wu, C., & Yang, L. (2013). Oil Price Shocks and Stock Market Activities: Evidence from Oil-Importing and Oil-Exporting Countries. Journal of Comparative Economics, 41(4), 1220-1239.

Wang, X., & Wang, Y. (2019). Volatility Spillovers between Crude Oil and Chinese Sectoral Equity Markets: Evidence from a Frequency Dynamics Perspective. Energy Economics, 80, 995-1009.

Williams, J. B. (1938). The Theory of Investment Value. Cambridge: Harvard University Press.

Yoon, S. M., Al Mamun, M., Uddin, G. S., & Kang, S. H. (2019). Network Connectedness and Net Spillover Between Financial and Commodity Markets. North American Journal of Economics and Finance, 48, 801–818.

You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil Price Shocks, Economic Policy Uncertainty and Industry Stock Returns in China: Asymmetric Effects with Quantile Regression. Energy Economics, 68, 1–18.

Youssef, M., & Mokni, Kh. (2019). Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries? Economies, 7(3), 70-80.

Zhang, B., & Wang, P. (2014). Return and Volatility Spillovers between China and World Oil Markets. Economic Modelling, 42, 413-420.

Zhu, H., Guo, Y., You, W., & Xu, Y. (2016). The Heterogeneity Dependence between Crude Oil Price and Industry Stock Market Returns in China: Evidence from a Quantile Regression Approach. Energy Economics, 55, 30-41.