 Measuring contagion between energy market and stock market during financial crisis: A copula approachXiaoqian Wen, Yu Wei and Dengshi Huang Energy Economics, 2012, vol. 34, issue 5, 1435-1446 Abstract: In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component index returns, evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion in the sense of Forbes and Rigobon's (2002) definition. Moreover, increased tail dependence and symmetry characterize all the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period. Finally, the contagion effect is found to be much weaker for China than the US. The empirical results have potentially important implications for risk management. Keywords: Contagion; Energy market; Stock market; Time-varying copula (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446 DOI: 10.1016/j.eneco.2012.06.021 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.