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Dias, R., Alexandre, P., Heliodoro, P., Santos, H., Farinha, A. R. & Santos, M. C. (2021). The 2020 oil price war has increased integration between G7 stock markets and crude oil WTI. In Bevanda, V. (Ed.), 7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers. (pp. 13-25). Online: Association of Economists and Managers of the Balkans.

R. Dias et al.,  "The 2020 oil price war has increased integration between G7 stock markets and crude oil WTI", in 7th Int. Scientific Conf. ERAZ 2021 - Knowledge based sustainable development: Selected papers, Bevanda, V., Ed., Online, Association of Economists and Managers of the Balkans, 2021, pp. 13-25

@inproceedings{dias2021_1734931957213,
	author = "Dias, R. and Alexandre, P. and Heliodoro, P. and Santos, H. and Farinha, A. R. and Santos, M. C.",
	title = "The 2020 oil price war has increased integration between G7 stock markets and crude oil WTI",
	booktitle = "7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers",
	year = "2021",
	editor = "Bevanda, V.",
	volume = "",
	number = "",
	series = "",
	doi = "10.31410/ERAZ.S.P.2021.13",
	pages = "13-25",
	publisher = "Association of Economists and Managers of the Balkans",
	address = "Online",
	organization = "Association of Economists and Managers of the Balkans",
	url = "https://eraz-conference.com/wp-content/uploads/2022/03/ERAZ_2021-Selected-WEB.pdf"
}

TY  - CPAPER
TI  - The 2020 oil price war has increased integration between G7 stock markets and crude oil WTI
T2  - 7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers
AU  - Dias, R.
AU  - Alexandre, P.
AU  - Heliodoro, P.
AU  - Santos, H.
AU  - Farinha, A. R.
AU  - Santos, M. C.
PY  - 2021
SP  - 13-25
DO  - 10.31410/ERAZ.S.P.2021.13
CY  - Online
UR  - https://eraz-conference.com/wp-content/uploads/2022/03/ERAZ_2021-Selected-WEB.pdf
AB  - This paper aims to examine whether the oil price war between Saudi
Arabia and Russia has increased integration between the Crude Oil WTI Spot oil
index and the G7 stock markets, namely France (CAC 40), Germany (DAX 30),
USA (DOW JONES), UK (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225), Canada
(S&P TSX), from January 2018 to January 2021. The results show that in the
period before the oil price war, the G7 stock markets and the WTI index had 29
integrations (out of 56 possible). The WTI index is integrated with the UK stock
markets (FTSE 100), and Japan (NIKKEI 225), and is integrated into the Japanese
market. In the period of the oil price war, the G7’s stock markets and the Crude
Oil WTI Spot index had 43 integrations (out of 56 possible), namely the WTI,
Dow Jones, and Nikkei 225 indexes, with all their peers (7 out of 7 possible).
When comparing the period before and during the 2020 oil crash, we found
that integrations increased significantly from 29 to 43 (out of 56 possible); we
also found that the Crude Oil WTI Spot index is no longer a safe haven for portfolio
diversification in G7 stock markets. These findings validate our research
issue, i.e., the oil price war between Saudi Arabia and Russia had increased integrations,
and this evidence could question portfolio diversification.
ER  -