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All Outputs (16)

Tracing the Sources of Contagion in the Oil-Finance Nexus (2022)
Book Chapter
Legrenzi. (2022). Tracing the Sources of Contagion in the Oil-Finance Nexus. In Applications in Energy Finance, The Energy Sector, Economic Activity, Financial Markets, and the Environment (115-143). https://doi.org/10.1007/978-3-030-92957-2_5

We introduce an approach to trace the genesis of contagion occurring in the oil-finance nexus, which consolidates veteran non-linear oil price measures derived from the empirical oil literature, to construct a rule-based specification for filtering s... Read More about Tracing the Sources of Contagion in the Oil-Finance Nexus.

Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios (2022)
Journal Article
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. (2022). Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. North American Journal of Economics and Finance, 60, Article 101629. https://doi.org/10.1016/j.najef.2021.101629

We use alternative approaches to identify stable and stressful scenarios in the S&P 500 market, to offer a new perspective for constructing contagion tests in recipient frontier markets vulnerable to disturbances from this source market. The S&P 500... Read More about Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios.

Autumn budget 2021: experts react (2021)
Digital Artefact
Gheyoh Ndzi, E., Tziamalis, A., Donaldson, C., Alexiadou, D., Jones, E. T., Legrenzi, G., …McCabe, S. (2021). Autumn budget 2021: experts react. [Blog Style Article]

Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers (2021)
Journal Article
Heinlein, R., Legrenzi, G. D., & Mahadeo, S. M. (2021). Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers. Quarterly Review of Economics and Finance, 223 - 229. https://doi.org/10.1016/j.qref.2021.09.007

Financial assets tend to immediately react to the developments of a global crisis. We investigate how the relationship between crude oil and stock market returns for a heterogeneous selection of oil exporters and importers has been affected in the on... Read More about Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers.

Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios (2019)
Journal Article
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. D. (2019). Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios. SSRN, https://doi.org/10.2139/ssrn.3523533

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete condit... Read More about Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios.

Energy contagion analysis: a new perspective with application to a small petroleum economy (2019)
Journal Article
Legrenzi. (2019). Energy contagion analysis: a new perspective with application to a small petroleum economy. Energy Economics, 890-903. https://doi.org/10.1016/j.eneco.2019.02.007

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis conditions in energy markets. Further, we show how to construct tests for energy contagion through correlation, co-skewness, and co-volatil... Read More about Energy contagion analysis: a new perspective with application to a small petroleum economy.