Please use this identifier to cite or link to this item:
Author(s): Dias, R.
Alexandre, P.
Heliodoro, P.
Santos, H.
Farinha, A. R.
Santos, M. C.
Editor: Bevanda, V.
Date: 2021
Title: The 2020 oil price war has increased integration between G7 stock markets and crude oil WTI
Pages: 13 - 25
Event title: 7th International Scientific Conference ERAZ 2021
ISSN: 2683-5568
ISBN: 978-86-80194-47-9
DOI (Digital Object Identifier): 10.31410/ERAZ.S.P.2021.13
Keywords: Crude oil WTI spot
G7 markets
Diversification of portfolios
Abstract: This paper aims to examine whether the oil price war between Saudi Arabia and Russia has increased integration between the Crude Oil WTI Spot oil index and the G7 stock markets, namely France (CAC 40), Germany (DAX 30), USA (DOW JONES), UK (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225), Canada (S&P TSX), from January 2018 to January 2021. The results show that in the period before the oil price war, the G7 stock markets and the WTI index had 29 integrations (out of 56 possible). The WTI index is integrated with the UK stock markets (FTSE 100), and Japan (NIKKEI 225), and is integrated into the Japanese market. In the period of the oil price war, the G7’s stock markets and the Crude Oil WTI Spot index had 43 integrations (out of 56 possible), namely the WTI, Dow Jones, and Nikkei 225 indexes, with all their peers (7 out of 7 possible). When comparing the period before and during the 2020 oil crash, we found that integrations increased significantly from 29 to 43 (out of 56 possible); we also found that the Crude Oil WTI Spot index is no longer a safe haven for portfolio diversification in G7 stock markets. These findings validate our research issue, i.e., the oil price war between Saudi Arabia and Russia had increased integrations, and this evidence could question portfolio diversification.
Peerreviewed: yes
Access type: Open Access
Appears in Collections:ISTAR-CRI - Comunicações a conferências internacionais

Files in This Item:
File Description SizeFormat 
conferenceobject_88089.pdfVersão Editora2,05 MBAdobe PDFView/Open

FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis Logotipo do Orcid 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.