بررسی رفتار نامنظم قیمت سهام، انتظار سرمایه گذاران و بازده سهام با استفاده از روش لیاپونوف و کلموگروف و BDS در بورس اوراق بهادار تهران با تاکید بر کاپیولا گارچ و کاپیولا تی-گارچ
الموضوعات :
محمدرضا نوائیان
1
(گروه مهندسی مالی، واحد رشت، دانشگاه آزاد اسلامی، رشت، ایران)
محمدرضا وطن پرست
2
(گروه حسابداری، واحد رشت، دانشگاه آزاد اسلامی، رشت، ایران.)
هادی سعیدی
3
(گروه حسابداری، واحد شیروان، دانشگاه آزاد اسلامی، شیروان، ایران)
شعبان محمدی
4
(گروه حسابداری، دانشکده شهید رجایی، دانشگاه فنی و حرفه ای استان خراسان، ایران)
تاريخ الإرسال : 26 الأحد , جمادى الثانية, 1440
تاريخ التأكيد : 18 الإثنين , رمضان, 1441
تاريخ الإصدار : 29 الأحد , شوال, 1441
الکلمات المفتاحية:
قیمت سهام,
بازده سهام,
انتظار سرمایه گذاران,
کاپیولا گارچ,
ملخص المقالة :
هدف این پژوهش بررسی رفتار نامنظم در قیمت سهام، انتظارات سرمایه گذاران و بازده سهام با استفاده از شاخص لیاپونوف و شاخص کلموگروف است. همچنین رفتار وابسته قیمت سهام، انتظارات سرمایه گذاران و بازده سهام را دربازه زمانی1390 تا 1396 در بورس اوراق بهادار تهران تجزیه و تحلیل شد. از روش BDS برای وجود و اندازه گیری رفتار نامنظم استفاده شد. کاپیولا گارچ و کاپیولا تی-گارچ برای مطالعه حرکت مشترک در میان متغیرهای انتخاب شده مورد استفاده قرار گرفتند. نتایج نشان داد بر اساس شاخص لیاپونوف و شاخص کلموگروف قیمت سهام و بازده سهام دارای رفتار نامنظم هستند. در مورد دنباله غیرخطی وابسته بین نوسان قیمت سهام، انتظارات سرمایه گذاران و بازده سهام شواهد معناداری وجود دارد. علاوه بر این، دنباله وابستگی بالا و پایین و تحرک بین سری های تحلیل شده، تایید شد. همچنین، نوسانات قیمت سهام تاثیر زیادی بر بازده سهام و انتظارات سرمایه گذاران در بلندمدت به روش های کاپیولا گارچ و کاپیولا تی-گارچ دارند.
المصادر:
Adrangi B, Chatrath A, Dhanda KK, Raffiee K. (2001).Chaos in oil prices? Evidence from futures markets. Energy Econ, 23(4): 405–25.
Alvarez-Ramirez J, Rodriguez E. (2008).Short-term predictability of crude oil markets: a detrended fluctuation analysis approach. Energy Econ, 30:2645–56.
Awartani B, Maghyereh AI. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Econ, 36:28–42.
Arouri M, Fouquau J. (2009). On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses. Econ Bull, 29(2):795–804.
Bachelier L. (1964).Theory of speculation (Ph.D. Thesis, Faculty of the Academy of Paris, 1900and Theory of Speculation, the random character of stock market prices. M.I.T Press.
Barnett WA, Hinich MJ. (1992)Empirical chaotic dynamics in economics. Ann Oper Res, 37:1–15.
Barnett WA, Gallant AR, Hinich MJ. (1995).Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size. J Econ Behav Org, 27(2):301–20.
Barnett WA, Gallant AR, Hinich MJ. (1997) A single-blind controlled competition among tests for nonlinearity and chaos. J Econom, 82(1):157–92.
Barone-Adesi G, Bourgoin F, Giannopoulos K. Don’t look back. Risk. 1998; 11:100–3.
Bjørnland HC. (2009).Oil price shocks and stock market booms in an oil exporting country. Scott J Polit Econ, 56(2):232–54.
Bildik R, Yılmaz M. (2008).The market performance of initial public offerings in the I˙stanbul stock exchange, BDDK Banka. Financ Piyas, 2(2):49–75.
Bildirici M, Sonustun FO. (2018).Chaotic structure of oil prices. In: AIP conference proceedings 1926, p. 020009.
Bildirici M, Ersın O, Onat I. (2017). The Baltic dry index as a leading economic indicator: an investigation with volatility models. In: Bildirci M, Zehir C, Kayıkc¸ı F, Karago¨z M, Bakırtas¸ T, editors. Istanbul as a Global Financial Center. Cambridge: Cambridge Scholar Publishing.
Boubaker H, Sghaier N. (2016).Contagion effect and change in the dependence between oil and ten MENA stock markets. RRJSMS, 2(1):1–17.
Boubaker H, Sghaier N. (2016).Markov-switching time-varying copula modeling of dependence structure between oil and GCC stock markets. Open J Stat, 6:565–89.
Bouri E. (2015).Oil volatility shocks and the stock markets of oil-importing MENA economies: a tale from the financial crisis. Energy Econ, 51:590–8.
Bouri E. (2015).Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. Energy, 89:365– 71.
Brenner MF, Galai D. (1989).New financial instruments for hedge changes in volatility. Financ Anal J, 45(4):61–5
Brock WA, Dechert W, Scheinkman J. (1987). A test for independence based on the correlation dimension. Working paper, University of Winconsin at Madison, University of Houston, and University of Chicago, 1987.
Brock WA, Hsieh DA, LeBaron BD. (1991). Nonlinear dynamics, chaos, and instability: statistical theory and economic evidence. Cambridge: MIT press.
Ciner, C. (2001).Energy shocks and financial markets: nonlinear linkages. Stud Nonlinear Dyn Econom, 5(3):203–12.
Ciner, C. (2013).Oil and stock returns: frequency domain evidence. J Int Financ Mark Inst Money. 23:1–11.
Cologni, A. (2009). Manera M. The asymmetric effects of oil shocks on output growth: a Markov-switching analysis for the G-7 countries. Econ Modell, 26:1–29.
DeLisle RJ, Doran JS, and Peterson DR. (2011).Asymmetric pricing of implied systematic volatility in the cross-section of expected returns. J Future Mark. 2011; 31(1):34–54.
Dowling S, Muthuswamy J. The implied volatility of Australian index options. R Future Mark, 14(1):117–55.
Dutta, A. (2017) Nikkinen J, Rothovius T. Impact of oil price uncertainty on Middle East and African stock markets. Energy, 123:189–97.
Ederington, LH, Guan W. (2010).How asymmetric is U.S. stock market volatility? J Financ Mark, 13(2):225–48.
Fama, EF. (1970).Efficient capital markets: a review of theory and empirical work. J Financ, 25(4):383–417.
Filho, OC. (2012). Ziegelmann FA, Dueker MJ. (2012).Modelling dependence dynamics through copulas with regime switching. Insur Math Econ, 50(3):346–56.
Giot, P. (2005) Relationships between implied volatility indexes and stock index returns. J PortManag, 31(3):92–100.
Hamilton, JD. (1996).This is what happened to the oil price-macroeconomy relationship. J Monet Econ, 38:215–20.
Hamilton, JD. (2003).What is an oil shock? J Econ, 113:363–98.
Hammoudeh S, Aleisa E. (2004).Dynamic relationship among GCC stock markets and NYMEX oil futures. Contemp Econ Policy, 22:250–69.
Hammoudeh, S, Choi K. (2006).Behavior of GCC stock markets and impacts of US oil and financial markets. Res Int Bus Financ, 20(1):22–44.
Hansen B. (2000) Sample splitting and threshold estimation. Economet, 68(3):575–603.
Hansen, B. (1996) Inference when a nuisance parameter is not identified under the null hypothesis. Economet, 64:413–30
Hansen, B. (2000). Testing for structural change in conditional models. J Econom, 97(1):93–115
He, L-Y. (2011).Chaotic structures in Brent & WTI crude oil markets: empirical evidence. Int J Econ Financ, 3(5):242–9.
He L-Y. (2010).Chen S-P. Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives. Phys A, 389(16)3218–29.
He L-Y, Fan Y, Wei Y-M.(2007).The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems. Int J Glob Energy Issue, 27(4):492–502
He L-Y, Fan Y, Wei Y-M. (2009). Impact of speculator’s expectations of returns and time scales of investment on crude oil price behaviors. Energy Econ, 31(1):77–84.
He L-Y, Zheng F. (2008).Empirical evidence of some stylized facts in international crude oil markets. Complex Syst, 17(4): 413–25.
ISE, ISE 2010 Annual Report, Istanbul, 2010.
Jones CM, Kaul G. (1996).Oil and the stock markets. J Financ, 51(2):463–91.
Kantz, H. (1944).A robust method to estimate the maximal Lyapunov exponent for a time series. Phys Lett A, 185(1):77–87.
Keynes, JM. (1936). the general theory of employment, interest and money. London: Palgrave MacMillan.
Kolmogorov, AN. (1960). Foundations of the theory of probability. 2nd Ed. (Trans. 1960). New York: Chelsea Publishing Co.
Kolmogorov, AN. (1959). Entropy per unit time as a metric invariant of automorphism. Docl. Russ. Acad. Sci, 124, 754–5.
Komijani A, Naderi E, Alikhani NG. (2014).A hybrid approach for forecasting of oil prices volatility. OPEC Energy Rev, 38(3):323–40.
Lahmiri, S. (2017). A study on chaos in crude oil markets before and after 2008 international financial crisis. Phys A, 38(3):389–95.
Lardic S, Mignon V. (2006). The impact of oil prices on GDP in European countries: an empirical investigation based on asymmetric cointegration. Energy Policy, 34(18):3910–5
Lee, TH, Chang, Y. (2011). Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach. MPRA paper, No.33030.
Lintner, J. (1965).The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev Econ Stat, 47:13–37.
Liu ML, Ji Q, Fan Y. (2013). How does oil market uncertainty interact with other markets: an empirical analysis of implied volatility index? Energy, 55:860–8
Maghyereh A, Al-Kandari A. (2007). Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis. Manag Financ. 33(7):449–60.
Mohanty SK, Nandha M, Turkistani AQ, Alaitani MY.(2011). Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries. Glob Financ J, 22(1):42–55.
Odabas¸ı A, Aksu C, Akgiray V. (2004). The statistical evolution of prices on the Istanbul Stock Exchange. Eur J Financ, 10:510–25.
Panas E, Ninni V. (2000).Are oil markets chaotic? A non-linear dynamic analysis. Energy Econ, 22(5):549–68.
Papapetrou E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ, 23:511–32
Park J, Ratti RA.(2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Econ, 30(5):2587–608.
Pindyck R. (1991). Irreversibility, uncertainty, and investment. J Econ Lit, 29:110–48.
Plerou V, Gopikrishnan P, Gabaix X. (2001).Price fluctuations, market activity and trading volume. Quant Financ, 1(2):262-9.
Rosenstein M, Collins J, De Luca C. (1993). A practical method for calculating largest Lyapunov exponents from small data sets. Phys D Nonlinear Phenom, 65:117–34.
Sadorsky P. (1999).Oil price shocks and stock market activity. Energy Econ, 21(5):449–69.
Shaikh, I, Padhi, P. (2015). The implied volatility index: is ‘investor fear gauge’ or ‘forward-looking’? Borsa Istanb Rev, 15(1):44–52
Smales L. (2017). Effect of investor fear on Australian financial markets. Appl Econ Lett, 24(16):1148–53
Sharpe WF. (1964).Capital asset prices: a theory of market equilibrium under conditions of risk. J Financ, 19:425–42.
Tabak BM, Cajueiro DO. (2007). Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. Energy Econ, 29(1):28–36.
Viana R, Barbosa J. (2003) Simulating a chaotic process. Braz J Phys, 5(1):139–47
Wang Y, Wu C, (2013).Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries. J Comp Econ, 41:1220–39.
Wernecke, H, Sa´ndor B, Gros C. (2017).How to test for partially predictable chaos. Sci Rep, 7:1087.
*Whaley RE. (2000). the investor fear gauge. J Port Manag, 26(3):12–7.
Whaley, RE. (1993). Derivatives on market volatility: hedging tools long overdue. J Deriv, 1:71–84.
Whaley, RE. (2009). Understanding the VIX. J Port Manag, 35(3):98–105.
Zakoian, JM. (1994). Threshold heteroskedastic models. J Econ Dyn Control, 18(5): 931–55.
Zhang, D. (2008). Oil shock and economic growth in Japan: a nonlinear approach. Energy Econ, 30(5):2374–90.
Zhao L, Wang Z, Chen C. (2009). Is international oil price chaotic?—Empirical evidence from spot market. In: 2009 International conference on business intelligence and financial engineering.
Zheng, Y. (2014). The linkage between aggregate stock market investor sentiment and commodity futures returns. Appl Financ Econ, 24(23):1491–513.
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Adrangi B, Chatrath A, Dhanda KK, Raffiee K. (2001).Chaos in oil prices? Evidence from futures markets. Energy Econ, 23(4): 405–25.
Alvarez-Ramirez J, Rodriguez E. (2008).Short-term predictability of crude oil markets: a detrended fluctuation analysis approach. Energy Econ, 30:2645–56.
Awartani B, Maghyereh AI. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Econ, 36:28–42.
Arouri M, Fouquau J. (2009). On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses. Econ Bull, 29(2):795–804.
Bachelier L. (1964).Theory of speculation (Ph.D. Thesis, Faculty of the Academy of Paris, 1900and Theory of Speculation, the random character of stock market prices. M.I.T Press.
Barnett WA, Hinich MJ. (1992)Empirical chaotic dynamics in economics. Ann Oper Res, 37:1–15.
Barnett WA, Gallant AR, Hinich MJ. (1995).Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size. J Econ Behav Org, 27(2):301–20.
Barnett WA, Gallant AR, Hinich MJ. (1997) A single-blind controlled competition among tests for nonlinearity and chaos. J Econom, 82(1):157–92.
Barone-Adesi G, Bourgoin F, Giannopoulos K. Don’t look back. Risk. 1998; 11:100–3.
Bjørnland HC. (2009).Oil price shocks and stock market booms in an oil exporting country. Scott J Polit Econ, 56(2):232–54.
Bildik R, Yılmaz M. (2008).The market performance of initial public offerings in the I˙stanbul stock exchange, BDDK Banka. Financ Piyas, 2(2):49–75.
Bildirici M, Sonustun FO. (2018).Chaotic structure of oil prices. In: AIP conference proceedings 1926, p. 020009.
Bildirici M, Ersın O, Onat I. (2017). The Baltic dry index as a leading economic indicator: an investigation with volatility models. In: Bildirci M, Zehir C, Kayıkc¸ı F, Karago¨z M, Bakırtas¸ T, editors. Istanbul as a Global Financial Center. Cambridge: Cambridge Scholar Publishing.
Boubaker H, Sghaier N. (2016).Contagion effect and change in the dependence between oil and ten MENA stock markets. RRJSMS, 2(1):1–17.
Boubaker H, Sghaier N. (2016).Markov-switching time-varying copula modeling of dependence structure between oil and GCC stock markets. Open J Stat, 6:565–89.
Bouri E. (2015).Oil volatility shocks and the stock markets of oil-importing MENA economies: a tale from the financial crisis. Energy Econ, 51:590–8.
Bouri E. (2015).Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. Energy, 89:365– 71.
Brenner MF, Galai D. (1989).New financial instruments for hedge changes in volatility. Financ Anal J, 45(4):61–5
Brock WA, Dechert W, Scheinkman J. (1987). A test for independence based on the correlation dimension. Working paper, University of Winconsin at Madison, University of Houston, and University of Chicago, 1987.
Brock WA, Hsieh DA, LeBaron BD. (1991). Nonlinear dynamics, chaos, and instability: statistical theory and economic evidence. Cambridge: MIT press.
Ciner, C. (2001).Energy shocks and financial markets: nonlinear linkages. Stud Nonlinear Dyn Econom, 5(3):203–12.
Ciner, C. (2013).Oil and stock returns: frequency domain evidence. J Int Financ Mark Inst Money. 23:1–11.
Cologni, A. (2009). Manera M. The asymmetric effects of oil shocks on output growth: a Markov-switching analysis for the G-7 countries. Econ Modell, 26:1–29.
DeLisle RJ, Doran JS, and Peterson DR. (2011).Asymmetric pricing of implied systematic volatility in the cross-section of expected returns. J Future Mark. 2011; 31(1):34–54.
Dowling S, Muthuswamy J. The implied volatility of Australian index options. R Future Mark, 14(1):117–55.
Dutta, A. (2017) Nikkinen J, Rothovius T. Impact of oil price uncertainty on Middle East and African stock markets. Energy, 123:189–97.
Ederington, LH, Guan W. (2010).How asymmetric is U.S. stock market volatility? J Financ Mark, 13(2):225–48.
Fama, EF. (1970).Efficient capital markets: a review of theory and empirical work. J Financ, 25(4):383–417.
Filho, OC. (2012). Ziegelmann FA, Dueker MJ. (2012).Modelling dependence dynamics through copulas with regime switching. Insur Math Econ, 50(3):346–56.
Giot, P. (2005) Relationships between implied volatility indexes and stock index returns. J PortManag, 31(3):92–100.
Hamilton, JD. (1996).This is what happened to the oil price-macroeconomy relationship. J Monet Econ, 38:215–20.
Hamilton, JD. (2003).What is an oil shock? J Econ, 113:363–98.
Hammoudeh S, Aleisa E. (2004).Dynamic relationship among GCC stock markets and NYMEX oil futures. Contemp Econ Policy, 22:250–69.
Hammoudeh, S, Choi K. (2006).Behavior of GCC stock markets and impacts of US oil and financial markets. Res Int Bus Financ, 20(1):22–44.
Hansen B. (2000) Sample splitting and threshold estimation. Economet, 68(3):575–603.
Hansen, B. (1996) Inference when a nuisance parameter is not identified under the null hypothesis. Economet, 64:413–30
Hansen, B. (2000). Testing for structural change in conditional models. J Econom, 97(1):93–115
He, L-Y. (2011).Chaotic structures in Brent & WTI crude oil markets: empirical evidence. Int J Econ Financ, 3(5):242–9.
He L-Y. (2010).Chen S-P. Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives. Phys A, 389(16)3218–29.
He L-Y, Fan Y, Wei Y-M.(2007).The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems. Int J Glob Energy Issue, 27(4):492–502
He L-Y, Fan Y, Wei Y-M. (2009). Impact of speculator’s expectations of returns and time scales of investment on crude oil price behaviors. Energy Econ, 31(1):77–84.
He L-Y, Zheng F. (2008).Empirical evidence of some stylized facts in international crude oil markets. Complex Syst, 17(4): 413–25.
ISE, ISE 2010 Annual Report, Istanbul, 2010.
Jones CM, Kaul G. (1996).Oil and the stock markets. J Financ, 51(2):463–91.
Kantz, H. (1944).A robust method to estimate the maximal Lyapunov exponent for a time series. Phys Lett A, 185(1):77–87.
Keynes, JM. (1936). the general theory of employment, interest and money. London: Palgrave MacMillan.
Kolmogorov, AN. (1960). Foundations of the theory of probability. 2nd Ed. (Trans. 1960). New York: Chelsea Publishing Co.
Kolmogorov, AN. (1959). Entropy per unit time as a metric invariant of automorphism. Docl. Russ. Acad. Sci, 124, 754–5.
Komijani A, Naderi E, Alikhani NG. (2014).A hybrid approach for forecasting of oil prices volatility. OPEC Energy Rev, 38(3):323–40.
Lahmiri, S. (2017). A study on chaos in crude oil markets before and after 2008 international financial crisis. Phys A, 38(3):389–95.
Lardic S, Mignon V. (2006). The impact of oil prices on GDP in European countries: an empirical investigation based on asymmetric cointegration. Energy Policy, 34(18):3910–5
Lee, TH, Chang, Y. (2011). Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach. MPRA paper, No.33030.
Lintner, J. (1965).The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev Econ Stat, 47:13–37.
Liu ML, Ji Q, Fan Y. (2013). How does oil market uncertainty interact with other markets: an empirical analysis of implied volatility index? Energy, 55:860–8
Maghyereh A, Al-Kandari A. (2007). Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis. Manag Financ. 33(7):449–60.
Mohanty SK, Nandha M, Turkistani AQ, Alaitani MY.(2011). Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries. Glob Financ J, 22(1):42–55.
Odabas¸ı A, Aksu C, Akgiray V. (2004). The statistical evolution of prices on the Istanbul Stock Exchange. Eur J Financ, 10:510–25.
Panas E, Ninni V. (2000).Are oil markets chaotic? A non-linear dynamic analysis. Energy Econ, 22(5):549–68.
Papapetrou E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ, 23:511–32
Park J, Ratti RA.(2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Econ, 30(5):2587–608.
Pindyck R. (1991). Irreversibility, uncertainty, and investment. J Econ Lit, 29:110–48.
Plerou V, Gopikrishnan P, Gabaix X. (2001).Price fluctuations, market activity and trading volume. Quant Financ, 1(2):262-9.
Rosenstein M, Collins J, De Luca C. (1993). A practical method for calculating largest Lyapunov exponents from small data sets. Phys D Nonlinear Phenom, 65:117–34.
Sadorsky P. (1999).Oil price shocks and stock market activity. Energy Econ, 21(5):449–69.
Shaikh, I, Padhi, P. (2015). The implied volatility index: is ‘investor fear gauge’ or ‘forward-looking’? Borsa Istanb Rev, 15(1):44–52
Smales L. (2017). Effect of investor fear on Australian financial markets. Appl Econ Lett, 24(16):1148–53
Sharpe WF. (1964).Capital asset prices: a theory of market equilibrium under conditions of risk. J Financ, 19:425–42.
Tabak BM, Cajueiro DO. (2007). Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. Energy Econ, 29(1):28–36.
Viana R, Barbosa J. (2003) Simulating a chaotic process. Braz J Phys, 5(1):139–47
Wang Y, Wu C, (2013).Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries. J Comp Econ, 41:1220–39.
Wernecke, H, Sa´ndor B, Gros C. (2017).How to test for partially predictable chaos. Sci Rep, 7:1087.
*Whaley RE. (2000). the investor fear gauge. J Port Manag, 26(3):12–7.
Whaley, RE. (1993). Derivatives on market volatility: hedging tools long overdue. J Deriv, 1:71–84.
Whaley, RE. (2009). Understanding the VIX. J Port Manag, 35(3):98–105.
Zakoian, JM. (1994). Threshold heteroskedastic models. J Econ Dyn Control, 18(5): 931–55.
Zhang, D. (2008). Oil shock and economic growth in Japan: a nonlinear approach. Energy Econ, 30(5):2374–90.
Zhao L, Wang Z, Chen C. (2009). Is international oil price chaotic?—Empirical evidence from spot market. In: 2009 International conference on business intelligence and financial engineering.
Zheng, Y. (2014). The linkage between aggregate stock market investor sentiment and commodity futures returns. Appl Financ Econ, 24(23):1491–513.
