 A time-varying copula approach to oil and stock market dependence: The case of transition economiesRiadh Aloui, Shawkat Hammoudeh and Duc Khuong Nguyen Energy Economics, 2013, vol. 39, issue C, 208-221 Abstract: We employ the time-varying copula approach to investigate the conditional dependence between the Brent crude oil price and stock markets in the Central and Eastern European (CEE) transition economies. Our results show evidence of a positive dependence between the oil and the stock markets of the six CEE countries, which is indicative of a contagion between those markets, regardless of the changes in the oil price or the CEE stock index. Moreover, the dependence patterns in both the center and left tails of the return distributions change over time, particularly during the heart of the financial crisis, and are best described by the Survival Gumbel copulas. The empirical evidence also suggests that the lower tail dependence is much stronger than that of the upper tail, highlighting the importance of contagion during severe contractionary business cycles. Among the sample markets, Poland is shown to be particularly sensitive in this regard, while Hungary and Slovenia are the least sensitive. Keywords: Copulas; Oil prices; Stock markets; Transition economies (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:39:y:2013:i:c:p:208-221 DOI: 10.1016/j.eneco.2013.04.012 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 |
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