Oil and stock markets before and after financial crises: A local Gaussian correlation approach
采用局部高斯相关方法，研究了四次重大金融危机期间石油价格（现货和期货）与股票市场之间的跨市场联动，发现除最近一次全球金融危机外，所有危机期间均出现从股票到石油的资金逃离，且美国股市与所有基准石油市场之间存在传染效应，支持了商品金融化后股市与油市“一体化”的观点。
The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like “a market of one” after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.