What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach*

Risks and Portfolio Decisions Involving Hedge Funds

Yuting Gong, Ruijun Bu and Qiang Chen

Journal of Financial Econometrics, 2022, vol. 20, issue 2, 253-277

Abstract: The relationship between oil prices and stocks is an important issue for portfolio selection and risk management. This article proposes a mixed frequency data sampling copula model with explanatory variables that incorporates low-frequency explanatory variables into a high-frequency dynamic copula model. It enables us to investigate the impacts of economic factors on the relationship between oil and stocks. It is found that the dependence of oil and stock markets is influenced by aggregate demand and stock-specific negative news. The impact of aggregate demand lasts for two years, while the impact of stock-specific news lasts for one quarter.

Keywords: copula; crude oil; dependence; stock; mixed frequency (search for similar items in EconPapers)
JEL-codes: C58 G12 Q43 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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