A model-free test for contagion between crude oil and stock markets

摘要

This paper extends Hong et al. (2007)'s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets. (C) 2015 Elsevier B.V. All rights reserved.