Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (<scp>E7</scp> + 1): New evidence from cross‐quantilogram approach

We examine the directional predictability of energy stock returns on exchange rates and market in E7 + 1 emerging economies, which include India, China, Indonesia, South Korea, Turkey, Brazil, Mexico, Russia, over period 4 January 2000 to 31 May 2018. To achieve this, we carried out a cross-quantile analysis static dynamic frameworks, using bi-variate cross-quantilogram (CQ) partial (PCQ) approaches variant such approaches. The prices for WTI, Brent, OPEC, heating oil natural gas is examined. Further relationships are also conditioned by two measures geopolitical risk, including general risk (GPRD), threats (GPRD_Threat). overall results highlight importance employing PCQ approach examining different pairs prices, markets. They indicate that controlling GPRD GPRD_Threat significantly improves these variables. Policy implications empirical findings have been elaborated discussed.