AUTHOR=Yousfi Mohamed , Bouzgarrou Houssam TITLE=On the linkage of oil prices and oil uncertainty with US equities: a combination analysis based on the wavelet approach and quantile-on-quantile regression JOURNAL=Frontiers in Physics VOLUME=12 YEAR=2024 URL=https://www.frontiersin.org/journals/physics/articles/10.3389/fphy.2024.1357366 DOI=10.3389/fphy.2024.1357366 ISSN=2296-424X ABSTRACT=

This paper aims to investigate the dynamic and asymmetric linkage between crude oil, oil uncertainty, and the United States (US) equity markets across various horizons and tails using a combination of a time-frequency approach, Granger causality, and quantile-on-quantile regression from January 2020 to December 2022. The empirical results indicate that causal relationships and the dynamic co-movement between crude oil, oil implied volatility, and the Dow Jones industrial and transportation indices are confirmed across various frequencies through wavelet-based Granger causality and wavelet coherence. Then, the wavelet-based quantile-on-quantile regression shows that the relationship between oil, oil implied volatility, and both US equity markets is heterogeneous and asymmetric across short- and long-run horizons, in particular. The findings provide new insights into the sensitivity of US stock markets to oil shocks across various time frequencies and tails, offering several portfolio implications useful for heterogeneous investors and portfolio managers.