We study the relation between oil and stock market returns for a set of seven countries that are important participants in commodity markets. Observed oil prices are decomposed into a supply related factor, a demand related factor and a risk factor. Total and directional spillover indicators are computed using forecast error variance decomposition from vector autoregressions, and their dynamic nature is explored. Studying time-varying spillovers between commodity and traditional financial markets is crucial for the design of effective portfolio composition and risk diversification strategies in global financial markets. Our findings suggest that oil markets are net volatility receptors. While some recent studies suggest that results may depend on whether supply or demand factors are considered, this study finds major stock markets are net volatility transmitters to oil markets. Transmission intensities and net positions present, however, considerable time variation being substantially larger in moments of financial distress with respect to normal times. Furthermore, results from dynamic predictive causality tests show the existence of bidirectional relations, which are stronger from stock to oil markets. Our findings provide empirical evidence supporting the oil markets financialization hypothesis.

我们研究了七个商品市场中重要参与者的一组国家的石油与股市收益之间的关系。观察到的油价被分解为供应相关因素，需求相关因素和风险因素。使用矢量自回归的预测误差方差分解计算总和方向溢出指标，并探讨其动态性质。研究商品和传统金融市场之间的时变溢出对于设计全球金融市场中有效的投资组合构成和风险分散策略至关重要。我们的发现表明，石油市场是净波动性的接受者。尽管最近的一些研究表明结果可能取决于是否考虑了供应或需求因素，这项研究发现，主要股票市场是石油市场的净波动率传递者。然而，存在传输强度和净位置，相对于正常时间，在财务困境时刻，相当大的时间变化要大得多。此外，动态预测因果关系测试的结果表明存在双向关系，这种关系从股票市场到石油市场都更强。我们的发现提供了支持石油市场金融化假设的经验证据。从股票市场到石油市场，这些都更为强大。我们的发现提供了支持石油市场金融化假设的经验证据。从股票市场到石油市场，这些都更为强大。我们的发现提供了支持石油市场金融化假设的经验证据。