Interdependence of oil prices and stock market indices: A copula approach

By Kunlapath Sukcharoen, T. Zohrabyan, D. Leatham, Ximing Wu. 2014

157 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/f91355b4b93ec7998ee111c11a16c197a9f3d095

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. Sang Hoon Kang
2. A. Ugolini
3. Walid Mensi
4. Huiming Zhu
5. X. Vo
6. Juan Carlos Reboredo
7. Yawei Guo
8. Wanhai You

In Renewable Energy, Sustainability and the Environment

1. A. Ugolini
2. Huiming Zhu
3. Walid Mensi
4. Sang Hoon Kang
5. X. Vo
6. Kaijian He
7. Juan Carlos Reboredo
8. Lean Yu

Citations in the corpus

• Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017, background): “In addition, Huang et al. (1996), Apergis and Miller (2009), and Sukcharoen et al. (2014) do not find a significant relationship between oil futures prices and stock returns.”
• Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model (2015, unknown): “To the best of our knowledge, copulas have been used in commodities markets by Zohrabyan (2014)[14], Kharoubi and German(2008)[15], Reboredo (2011)[16], Nguyen and Bhatti (2012)[17], Hammoudeh et al (2013)[18] and Syed et al(2014)[19].”
• Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, background): “A third stand of literature examines the dependence structure (upper and lower tail dependence) between crude oil and stock markets (Sukcharoen et al., 2014; Li and Wei, 2018; Nguyen and Bahtti, 2018; Ji et al., 2020).”
• Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “continually changing volatilities in markets over an extended period of time (e.g., Nguyen, 2012; Sukcharoen et al., 2014; Ji et al., 2018; Zhang, 2017).”
• Quantile dependence of oil price movements and stock returns (2016, methodology): “…and Haff, 2008; Kilian and Park, 2009; Sadorsky, 1999; among others), whereas another strand of the literature found no significant relationship between oil prices and stock returns (see, e.g., Huang, et al., 1996; Henriques and Sadorsky, 2008; Apergis and Miller, 2009; Sukcharoen et al. 2014).”