TY - JOUR
T1 - Oil shocks and the transmission of higher-moment information in US industry
T2 - Evidence from an asymmetric puzzle
AU - Naeem, Muhammad Abubakr
AU - Gul, Raazia
AU - Aysan, Ahmet Faruk
AU - Kayani, Umar
N1 - Publisher Copyright:
© 2024 Borsa İstanbul Anonim Şirketi
PY - 2024/11
Y1 - 2024/11
N2 - Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.
AB - Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.
KW - Asymmetry
KW - Cross-quantilogram
KW - Higher-moment information
KW - Oil shocks
KW - US industries
UR - http://www.scopus.com/inward/record.url?scp=85199570079&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85199570079&partnerID=8YFLogxK
U2 - 10.1016/j.bir.2024.07.005
DO - 10.1016/j.bir.2024.07.005
M3 - Article
AN - SCOPUS:85199570079
SN - 2214-8450
VL - 24
SP - 1190
EP - 1204
JO - Borsa Istanbul Review
JF - Borsa Istanbul Review
IS - 6
ER -