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

2019 ◽  
Vol 72 ◽  
pp. 14-33 ◽  
Author(s):  
Khaled Mokni ◽  
Manel Youssef
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Copula Approach

Linking crude oil prices and Middle East stock markets

2019 ◽  
Vol 43 (2) ◽  
pp. 136-167 ◽  
Author(s):  
Mousa Tawfeeq ◽  
Alan R. Collins ◽  
Levan Elbakidze ◽  
Gulnara Zaynutdinova
Keyword(s):  
Middle East ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Crude Oil Prices

scholarly journals Do Tense Geopolitical Factors Drive Crude Oil Prices?

Energies ◽  
2020 ◽  
Vol 13 (16) ◽  
pp. 4277
Author(s):  
Fen Li ◽  
Zhehao Huang ◽  
Junhao Zhong ◽  
Khaldoon Albitar
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Causal Link ◽  
Short Term ◽  
Causality Test ◽  
Dynamic Correlation ◽  
Crude Oil Prices ◽  
Political Events ◽  
Real Factor ◽  
Copula Approach

Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

The impact of crude oil prices on financial market indicators: copula approach

2017 ◽  
Vol 61 ◽  
pp. 162-173 ◽  
Author(s):  
Derya Ezgi Kayalar ◽  
C. Coşkun Küçüközmen ◽  
A. Sevtap Selcuk-Kestel
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Copula Approach ◽  
The Impact

Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach

2020 ◽  
Vol 557 ◽  
pp. 124885
Author(s):  
Muhammad Naeem ◽  
Zaghum Umar ◽  
Sheraz Ahmed ◽  
El Mehdi Ferrouhi
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Copula Approach

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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