摘要 : The article aims to investigate the connectedness between the oil market and the European stocks, as well as to discover the way the news between the commodity and stock markets are transmitted. We examine the price of the Brent f... 展开 The article aims to investigate the connectedness between the oil market and the European stocks, as well as to discover the way the news between the commodity and stock markets are transmitted. We examine the price of the Brent futures and the main stocks indices of twenty two European economies over the years 2000e2020. We study the following aspects of the connectedness: the amount of information transmitted across the markets (spillover index) and the velocity of its spread (frequency connectedness on various frequency bands), as well as the dependency structure of their joint distribution (quantile coherency). We prove that, in the investigated period, oil shocks did not affect European financial markets very strongly (and vice versa). Yet, the situation changed during economic crises or turbulence on the oil market. Tensions in financial markets resulted in the increase of the cross correlation and causality from the stock exchanges to Brent futures, while oil-related episodes were raising causality from the oil market, not affecting the correlation. The news was almost fully incorporated into both markets within the first two-five days after the shock occurrence. During financial crises, the influence of disturbances lasted much longer. (c) 2021 Elsevier Ltd. All rights reserved. 收起