Linkage influence of energy market on financial market by multiscale complexity synchronization

Yali Zhang and Jun Wang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 516, issue C, 254-266

Abstract: Crude oil markets play an important role in the international economy, and shocks of crude oil prices have significant effects on various economic activities. In this paper, a novel definition of time delay based on multiscale composite complexity synchronization analysis is proposed in this work, and it is applied to investigate whether stock markets have delayed reaction to crude oil markets’ large volatility or not. The effect of crude oil energy markets on stock markets is investigated, and the data of West Texas Intermediate crude oil spot price, Europe Brent spot price, China Daqing spot price, Shanghai Stock Exchange Composite Index and Standard & Poor’s 500 Index are selected for the empirical research. Then, based on the multiscale time delay between crude oil markets and financial markets, the linkage synchronization and correlation relationship between crude oil markets and stock markets are measured by cross recurrence quantification analysis, and deep canonical correlation analysis which is firstly utilized in this field.

Keywords: Oil energy market; Financial market; Multiscale composite complexity synchronization; Multiscale time delay; Deep canonical correlation; Cross recurrence quantification (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:516:y:2019:i:c:p:254-266

DOI: 10.1016/j.physa.2018.10.038

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