Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

By Huiming Zhu, Rong Li, Sufang Li. 2014

213 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/97456e80b3675796877064e78299434d1353c5a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Kaijian He
2. En-Ze Wang
3. Lean Yu
4. Yue‐Jun Zhang
5. Dimitrios Stafylas
6. Bin Pan
7. Zhenhua Liu
8. Lu Liu

In Renewable Energy, Sustainability and the Environment

1. Yue‐Jun Zhang
2. Kaijian He
3. Bin Pan
4. Zhenhua Liu
5. Xinheng Liu
6. Bin Chen
7. Lean Yu
8. Ruyin Long

Citations in the corpus

• The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “Zhu et al. found that the dynamic dependencies between the crude oil price and the stock market were positive before the global financial crisis of 2008 (except in Hong Kong) [37]; however, after the crisis, the dependent relationship was significantly enhanced.”
• Extreme risk spillovers between crude oil and stock markets (2015, background): “2 e.g., Geman and Kharoubi (2008), Aloui et al. (2013), Nguyen and Bhatti (2012), Wen et al. (2012), and Zhu et al. (2014). the crude oil market was increasing extremely, and vice versa; Wen et al. (2012) find significantly increasing tail dependence between crude oil and the U.S. stock market…”
• Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “2 and after the financial crisis (Zhu et al., 2014); and strength of tail dependence and contagion risk in transition economies (Aloui et al.”
• Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020, background): “For example, it has been demonstrated that there exists a positive relation between crude oil prices and stock prices (Zhu et al., 2014).”
• Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model (2017, background): “Other studies illustrate that oil price shocks have a positive impact on stock market (Chen, Roll, and Ross 1986; Luo and Qin 2017; Narayan and Narayan 2010; Zhu, Li, and Li 2014).”