Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index
Bibliographic record
Abstract
This study investigates the spillover effects of return and volatility between Brent oil market and stock markets (comparing oil market with both stock markets of oil-exporting and oil-importing countries together and individually) by spillover index. We further use parametric and nonparametric methods to examine the major events ’ impact on dynamic of return and volatility spillover indices between Brent oil market and stock markets. The empirical evidence indicates oil-exporting countries have had significant impact on returns and volatilities of oil-importing countries, which stock market in Canada is a dominant net sender and stock market in Netherland is a dominant net receiver. Second, the oil market spillover on oil-exporting markets more than oil-importing markets in terms of both returns and volatilities, especially oil market had a high impact on Canada. Moreover, stock market in Canada had dominant spillover on other markets. We conjecture that Brent oil market indirect spillover on other countries through Canada. Finally, the result shows that the dynamics of return and volatility spillovers burst significantly during the major events.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.003 | 0.002 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.004 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.005 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".