RESILIENCE TO CRUDE OIL: AUSTRALIAN EVIDENCE ON LITIGATION FUNDING
Abstract
Using daily data from January 2011 to November 2020, this study examines the return shocks between crude oil and litigation funding in Australia. Based on Diebold and Yilmaz’s (2012) return spillover effects, we find evidence that litigation funding and the crude oil market share a lower degree of return shocks connectedness, relative to the overall stock market. Further, the oil price crashes (including the COVID-19-induced oil price crash) are also weakly correlated to the return shocks connectedness between litigation funding and the crude oil market. Our findings suggest that litigation funding is mainly immune from economic disruptions. These findings are of interest to policymakers, market participants, and crude oil investors in comprehending the spillover effects of crude oil on other sectors of the economy.
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Copyright (c) 2022 Amanjot Singh
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