Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam

Causality in distribution between European stock markets and commodity prices: using independence test based on the empirical copula

“…The majority of these studies examine the AsianPacific region [Cong et al 2008;Narayan, Narayan 2010;Nguyen, Bhatti 2012;Broadstock, Cao, Zhang 2012;Zhu, Li, Li 2014]. Several researchers investigate the relationship between oil prices and stock returns of the GCC (Gulf Cooperation Council) countries [Mohanty et al, 2011;Hammoudeh, Choi 2006;Arouri, Lahiani, Nguyen 2011;Arouri, Rault 2012].…”

“…First, copula functions are used to describe dependence between pairs (usually) of series in order to have benefit of portfolio diversification and to measure co-movement of financial instruments or a contagion effect. Relations between oil prices and stock market in this context were studied for the U.S. by Geman and Kharoubi [2008], for Poland, the Czech Republic and Hungary by Zohrabyan [2008], for China and Vietnam by Nguyen and Bhatti [2012], and for various countries by Sukcharoen et al [2014]. Aloui, Hammoudeh and Nguyen [2013] used time-varying copula to focus on the oil-stock market relationship for six major transition markets in the Central and Eastern European region.…”

“…Existing studies present different results; some find that there is no significant effect of oil price shocks on stock prices [Cong et al 2008;Hammoudeh, Choi 2006;Mohanty, Nandha, Bota 2010;Maghyereh 2004;Sari, Soytas 2006], others find a significant positive impact of oil prices on stock prices [Narayan, Narayan 2010;Nguyen, Bhatti 2012;Broadstock, Cao, Zhang 2012;Mohanty et al 2011], while still others find a significant negative effect [Aloui, Jammazi 2009;Park, Ratti 2008;Cifarelli, Paladino 2010]. Hence, the evidence from the existing literature on the significance and sign of the impact of oil price changes on stock prices is still inconclusive.…”

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

“…For instance, Faff and Brailsford (1999) through utilizing augmented market model for investigating the relationship between oil prices and Australia industrial stocks returns point out the positive impacts of oil prices on stock index returns of oil, gas, and energy-related industries while displaying the negative effects of oil prices on related industries' stock index returns regarding papermaking, packing, and transportation. In addition, Nguyen and Bhatti (2012) through applying conditional extreme value theory (C-EVT) for examining the relationships between oil prices and China's and Vietnam's stock markets argue that oil prices significantly positively affect Vietnam's stock index returns (i.e., oil price rise will stimulate stock index returns) while causing China's stock index returns to decline significantly.…”

“…The more active stock market trade of a country shows the more prosperous on its economy. Due to this fact, numerous previous studies have explored the factors of affecting stock volatility, including stock trading value (Assogbavi et al, 1995;Saatcioglu and Starks, 1998;Chen et al, 2001;Lee and Rui, 2002;Statman et al, 2006;Xu et al, 2006;Rashid, 2007;Chuang et al, 2009;Chen, 2012) oil price (Jones and Kaul, 1996;Maghyereh and Kandari, 2007;Aloui and Jammazi, 2009;Qinbin et al, 2012;Mollick and Assefa, 2013) manufacturing industry production index (Mohanty et al, 2011) economic prosperity (Fan et al, 2003;Basher and Sadorsky, 2006;Driesprong et al, 2008;Tang et al, 2010) investment inclination (Faff and Brailsford, 1999;Hondroyiannis and Papapetrou, 2001;Henriques and Sadorsky, 2008;Mollick and Assefa, 2013) interest rate (Kagraoka and Moussa, 2013) the total value of import and export prices (Chen et al, 2001) exchange rate (Lyonnet and Werner, 2012) money supply (Eichengreen, 2013;Karras, 2013) price variation (Girardin and Moussa, 2011;Naifar and Dohaiman, 2013) unemployment rate (Nguyen and Bhatti, 2012;Schenkelberg and Watzka, 2013).…”