Artikel: The impact of economy policy uncertainty and oil price shocks on G20 banks' stock performance: Wavelet coherence and non-parametric causality in quantiles approach.
2024 Band 10, Heft 7, Seite(n) e28846
Abstract: This study employs nonparametric causality-in-quantiles and wavelet coherence techniques to examine the impact of economic policy uncertainty and oil price variations on bank stocks in twelve prominent global economies. The results reveal that the ... ...
| Abstract | This study employs nonparametric causality-in-quantiles and wavelet coherence techniques to examine the impact of economic policy uncertainty and oil price variations on bank stocks in twelve prominent global economies. The results reveal that the effects of both economic policy uncertainty and oil prices on bank stock values vary significantly across countries and over time. Notably, during stress periods, we observe an inverse relationship between economic policy uncertainty and bank stocks in multiple countries, namely, Brazil, Canada, France, India, Russia, and the USA, with Japan exhibiting a particularly strong and long-term adverse correlation. Similarly, the influence of oil prices is primarily observed during crisis periods, but it demonstrates a substantial co-movement with bank stocks across the sample countries except Brazil. Our empirical analysis holds valuable implications for policymakers, bankers, investors, and portfolio managers. |
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| Sprache | Englisch |
| Erscheinungsdatum | 2024-04-01 |
| Erscheinungsland | England |
| Dokumenttyp | Journal Article |
| ZDB-ID | 2835763-2 |
| ISSN | 2405-8440 |
| ISSN | 2405-8440 |
| DOI | 10.1016/j.heliyon.2024.e28846 |
| Datenquelle | MEDical Literature Analysis and Retrieval System OnLINE |
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