The Crude Oil–Stock Market Dependence and Its Determinants: Evidence from Emerging Economies

Xiaoqian Wen, Elie Bouri () and Hua Cheng

Emerging Markets Finance and Trade, 2019, vol. 55, issue 10, 2254-2274

Abstract: This article uses dependence-switching copulas and time-varying single copulas to characterize the world oil–stock market dependence in a broad range of emerging economies, and it then conducts a regression analysis to explore the determinants of the market dependence patterns. Our results support a positive crude oil-emerging stock market link overall. The regression results show that oil return volatility, country-specific variables (i.e., stock market volatility, petroleum production growth), and US economic policy uncertainty have positive effects on the oil–stock dependence. However, a strong US economy tends to decrease the oil–stock dependence. The robustness of these findings is confirmed.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:55:y:2019:i:10:p:2254-2274

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DOI: 10.1080/1540496X.2018.1522247

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