How do great shocks influence the correlation between oil and international stock markets?

Bing Zhang

Applied Economics, 2017, vol. 49, issue 15, 1513-1526

Abstract: We investigate the impacts of great shocks (2003 Iraq War and 2008 Financial Crisis) on the correlations between oil and US/China stock markets, utilizing a novel MADCC (mixed asymmetry dynamic conditional correlation) model. This model successfully captures the coexistence of opposite signed asymmetries. We find that great shocks indeed increased the correlations. Further, results from the news impact surfaces indicate that correlations between oil and stock markets are higher to joint negative shocks; however, correlation between stock markets has stronger response to joint positive shocks.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2016.1221040 (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:taf:applec:v:49:y:2017:i:15:p:1513-1526

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2016.1221040

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().