The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations

Shekhar Mishra () and Sathya Swaroop Debasish

Afro-Asian Journal of Finance and Accounting, 2019, vol. 9, issue 3, 309-331

Abstract: The paper examines the dependence between global crude oil price and stock indices in economies of fast emerging Asian nations, which are also termed to be major oil consumers. The paper employs quantile regression method (QRM) to analyse the relationship by using monthly data from April 2004 to April 2017. Since ordinary least squares (OLS) method estimates from data suffering from structural breaks, non-normality conditions and heterogeneous distribution may be biased and not much favourable, quantile regression method termed to a robust method is adopted to analyse the same. The analysis revealed the asymmetric effects of dependence between crude oil price and stock index returns. The observed positive relation between the given variables was quite contrary to the usual presumption of inverse relation relationship existing for the oil importing nations. The degree of significance for the positive dependence between the crude oil price and stock index returns also varied across the quantiles for economies under study.

Keywords: crude oil; Asian economies; stock returns; quantile regression; ordinary least square; OLS; structural breaks; non-normality conditions; heterogeneous distribution; asymmetric effects; positive dependence. (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.inderscience.com/link.php?id=100980 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:9:y:2019:i:3:p:309-331

Access Statistics for this article

More articles in Afro-Asian Journal of Finance and Accounting from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().