Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach

Nader Trabelsi

Borsa Istanbul Review, 2017, vol. 17, issue 4, 228-237

Abstract: This paper investigates the negative tail risk dependence between oil shocks and stock indices (at aggregated and desegregated levels) for Saudi Arabia (KSA), United Arab Emirates (UAE) and Russia, over the period between 2007 and 2016. DCC-MGARCH approach and CoVaR measure are employed to assess the oil shock exposure. The results show that the tail dependence is significant and depends on the origin of the oil shocks, with intensity that varies across countries and sectors.

Keywords: Oil price shocks; Oil-exporting countries; Conditional VaR (search for similar items in EconPapers)
JEL-codes: C58 G11 Q4 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:17:y:2017:i:4:p:228-237

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