Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression

Huiming Zhu, Hui Huang, Cheng Peng and Yan Yang

No 2016-46, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and structure of the dependence, and furthermore, the results present an asymmetric and heterogeneous dependence. Moreover, the dependence increases dramatically after a structural break point, meaning a crisis. Additionally, the authors observe a more significant dependence at the lower tails than the upper tails. They demonstrate the positive relationship at low quantiles, which is evidence of positive dependence in recessions or bearish markets.

Keywords: Extreme dependence; Crude oil; Asia-Pacific stock market; Quantile regression; Structural breaks (search for similar items in EconPapers)
JEL-codes: E44 Q43 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ene, nep-fmk, nep-mac and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.economics-ejournal.org/economics/discussionpapers/2016-46
https://www.econstor.eu/bitstream/10419/148014/1/872684709.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201646

Access Statistics for this paper

More papers in Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().