Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach

The Quarterly Review of Economics and Finance - Tập 72 - Trang 14-33 - 2019
Khaled Mokni1,2
1Northern Border University, College of Business Administration, Arar, 91431, P.O. Box 1321, Saudi Arabia
2University of Gabès, Institut Supérieur de Gestion de Gabès, Street Jilani Habib, Gabès 6002, Tunisia

Tóm tắt

Từ khóa


Tài liệu tham khảo

Abu Zarour, 2006, Wild oil prices, but brave stock markets! The case of GCC stock markets, Operational Research, 6, 145, 10.1007/BF02941229

Adiguzel, 2013, Oil prices and exchange rates in Brazil, India and Turkey: Time and frequency domain causality analysis, Siyaset, Ekonomive Yönetim Araştırmaları Dergisi‖., 1, 49

Akoum, 2012, Co-movement of oil and stock prices in the GCC region: A wavelet analysis, Quartly Review of Economics and Finance, 52, 385, 10.1016/j.qref.2012.07.005

Aloui, 2016, Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method, The North American Journal of Economics and Finance, 37, 458, 10.1016/j.najef.2016.05.002

Aloui, 2009, The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach, Energy Economics, 31, 789, 10.1016/j.eneco.2009.03.009

Aloui, 2013, A time-varying copula approach to oil and stock market dependence: The case of transition economies, Energy Economics, 39, 208, 10.1016/j.eneco.2013.04.012

Arouri, 2009, On the short-term influence of oil price changes on stock markets in GCC countries: Linear and nonlinear analyses, Economics Bulletin, 29, 806

Arouri, 2010, Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade, Energy Policy, 38, 4528, 10.1016/j.enpol.2010.04.007

Arouri, 2010, Oil price shocks and stock market returns in oil-exporting countries: The case of GCC countries, International Journal of Economics and Finance, 2, 10.5539/ijef.v2n5p132

Arouri, 2011, Return and volatility transmission between world oil prices and stock markets of the GCC countries, Economic Modelling, 28, 1815, 10.1016/j.econmod.2011.03.012

Awartani, 2013, Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council countries, Energy Economics, 36, 28, 10.1016/j.eneco.2012.11.024

Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659

Baillie, 1996, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Economics, 73, 3, 10.1016/S0304-4076(95)01749-6

Balcilar, 2013, The causal nexus between oil prices and equity market in the U.S.: A regime switching model, Energy Economics, 39, 271, 10.1016/j.eneco.2013.04.014

Basher, 2006, Oil price risk and emerging stock markets, Global Finance Journal, 17, 224, 10.1016/j.gfj.2006.04.001

Benhmad, 2012, Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach, Economic Modelling, 29, 1505, 10.1016/j.econmod.2012.01.003

Bjornland, 2009, Oil price shocks and stock market booms in an oil exporting country, Scottish Journal of Political Economy, 56, 232, 10.1111/j.1467-9485.2009.00482.x

Boldanov, 2016, Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries, International Review of Financial Analysis, 48, 209, 10.1016/j.irfa.2016.10.002

Boubaker, 2014, Instability and dependence structure between oil price and GCC stock markets, Energy Studies Review, 20, 50, 10.15173/esr.v20i3.555

Boyer, 2007, Common and fundamental factors in stock returns of canadian oil and gas companies, Energy Economics, 29, 428, 10.1016/j.eneco.2005.12.003

Chang, 2013, Does crude oil price play an important role in explaining stock return behavior?, Energy Economics, 39, 159, 10.1016/j.eneco.2013.05.008

Chiou, 2009, Jump dynamics and volatility: Oil and the stock markets, Energy, 34, 788, 10.1016/j.energy.2009.02.011

Dickey, 1979, Distribution of the estimators for autoregressive time series with unit root, Journal of American Statistic Association, 74, 427

Diebold, 1998, Evaluating density forecasts, International Economic Review, 39, 863, 10.2307/2527342

Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773

Fayyad, 2011, The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA, Emerging Markets Review, 12, 61, 10.1016/j.ememar.2010.12.001

Fernandez, 1998, On Bayesian modelling of fat tails skewness, Journal of the American Statistical Association, 93, 359

Ferreira, 2019, Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis, Physica A, 517, 86, 10.1016/j.physa.2018.11.021

Ferson, 1994, Sources of risk and expected returns in global equity markets, Journal of Banking and Finance, 18, 775, 10.1016/0378-4266(93)00020-P

Ferson, 1995, Predictability and time-varying risk in world equity markets, Research Finance, 13, 25

Forbes, 2002, No contagion only interdependence: Measuring stock market comovements, Journal of Finance, 57, 2223, 10.1111/0022-1082.00494

Geweke, 1983, The estimation and application of long-memory time series models, Journal of Time Series Analysis, 4, 221, 10.1111/j.1467-9892.1983.tb00371.x

Hamilton, 1996, This is what happened to the oil price–macroeconomy relationshi, Journal of Monetary Economics, 38, 215, 10.1016/S0304-3932(96)01282-2

Hamilton, 2012

Hammoudeh, 2004, Dynamic relationship among GCC stock markets and NYMEX oil futures, Contemporary Economic Policy, 22, 250, 10.1093/cep/byh018

Hammoudeh, 2004, Relationships among US oil prices and oil industry equity indices, International Review of Economics and Finance, 13, 427, 10.1016/S1059-0560(03)00011-X

Hong, 2002

Huang, 1996, Energy, shocks and financial market, Journal of Futures Markets, 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q

Jammazi, 2016, Dependence and risk management in oil and stock. A wavelet-copula analysis, Energy, 107, 866, 10.1016/j.energy.2016.02.093

Jimenez-Rodriguez, 2005, Oil price shocks and the real GDP growth: Empirical evidence for some OECD countries, Applied Economics, 37, 201, 10.1080/0003684042000281561

Joe, 1997

Joe, 1997

Jondeau, 2006, The Copula-GARCH model of conditional dependencies: An international stock market application, Journal of International Money and Finance, 25, 827, 10.1016/j.jimonfin.2006.04.007

Jones, 1996, Oil and the stock markets, The Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x

Kayalar, 2017, The impact of crude oil prices on financial market indicators: Copula approach, Energy Economics, 61, 162, 10.1016/j.eneco.2016.11.016

Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of unit root, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y

Lambert, 2000

Ma, 2013, Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC, Physica A, 392, 5356, 10.1016/j.physa.2013.06.061

Ma, 2014, Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets, Physica A, 410, 154, 10.1016/j.physa.2014.05.023

Maghyereh, 2007, Oil prices and stock markets in GCC countries: New evidence from nonlinear cointegration analysis, Managerial Finance, 33, 449, 10.1108/03074350710753735

Miller, 2009, Crude oil and stock markets: Stability, instability, and bubbles, Energy Economics, 31, 559, 10.1016/j.eneco.2009.01.009

Mohanty, 2011, Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries, Global Finance Journal, 22, 42, 10.1016/j.gfj.2011.05.004

Mokni, 2011, How Long memory in volatility affects market risk estimation, Vol. 93, 423

Mokni, 2017, Conditional dependence between international stock markets: A long-memory GARCH-copula model approach, Journal of Multinational Financial Management, 42–43, 116, 10.1016/j.mulfin.2017.10.006

Naifer, 2013, Nonlinear analysis among crude oil prices, stock markets’ return and macroeconomic variables, International Review of Economics and Finance, 27, 416, 10.1016/j.iref.2013.01.001

Nandha, 2008, Does oil move equity prices? A global view, Energy Economics, 30, 986, 10.1016/j.eneco.2007.09.003

Nelsen, 2006

Onour, 2008, What drives the short-term GCC stock market returns? Empirical evidence from fat-tailed distributions, Afro-Asian Journal of Finance and Accounting, 1, 17, 10.1504/AAJFA.2008.016888

Papapetrou, 2001, Oil price shocks, stock market, economic activity and employment in Greece, Energy Economics, 23, 511, 10.1016/S0140-9883(01)00078-0

Park, 2008, Oil price shocks and stock markets in the U.S. And 13 European countries, Energy Economics, 30, 2587, 10.1016/j.eneco.2008.04.003

Phan, 2015, Oil price and stock returns of consumers and producers of crude oil, Journal of International Financial Markets Institutions and Money, 34, 245, 10.1016/j.intfin.2014.11.010

Reboredo, 2011, How do crude oil prices co-move? A copula approach, Energy Economics, 33, 948, 10.1016/j.eneco.2011.04.006

Reboredo, 2013, Wavelet-based evidence of the impact of oil prices on stock returns, International Review of Economics and Finance, 29, 145, 10.1016/j.iref.2013.05.014

Rodriguez, 2007, Measuring financial contagion: A copula approach, Journal of Empirical Finance, 14, 401, 10.1016/j.jempfin.2006.07.002

Sadorsky, 1999, Oil price shocks and stock market activity, Energy Economics, 21, 449, 10.1016/S0140-9883(99)00020-1

Sadorsky, 2001, Risk factors in stock returns of Canadian oil and gas companies, Energy Economics, 23, 17, 10.1016/S0140-9883(00)00072-4

Sadorsky, 2014, Modelling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat, Energy Economics, 43, 72, 10.1016/j.eneco.2014.02.014

Salisu, 2017, Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach, Economic Modelling, 66, 258, 10.1016/j.econmod.2017.07.010

Shin, 2014, Modelling asymmetric cointegration and dynamic multipliers in an ARDL framework

Wang, 2013, Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries, Journal of Comparative Economics, 41, 1220, 10.1016/j.jce.2012.12.004

Yang, 2016, Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets, Physica A: Statistical Mechanics and its Applications, 462, 255, 10.1016/j.physa.2016.06.040

Youssef, 2015, Value-at-risk estimation of energy commodities: A long-memory GARCH-EVT approach, Energy Economics, 51, 99, 10.1016/j.eneco.2015.06.010