Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam

Cuong Nguyen and Muhammad Bhatti

Journal of International Financial Markets, Institutions and Money, 2012, vol. 22, issue 4, 758-773

Abstract: The uncertainty of a country's economy, especially emerging economies, is partially due to the fluctuating of oil prices. There is also a growing concern about the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements. This paper attempts to understand the relationship between China and Vietnam markets using nonparametric (chi- and K-plots) and parametric (copula) methods. We observe that the left tail dependency between international oil prices and Vietnam's stock market while Chinese market shows opposite results. These findings provide a new insight into the behavior between oil prices and stock markets, thus leading to meaningful implications for policy makers, investors and risk managers dealing with these two markets.

Keywords: Chi-plot; Dependence structure; K-plot; Oil price; Stock market (search for similar items in EconPapers)
JEL-codes: C51 G15 G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (131)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:22:y:2012:i:4:p:758-773

DOI: 10.1016/j.intfin.2012.03.004

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