Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market

Andre Assis de Salles, Silva Maria Eduarda and Teles Paulo

MPRA Paper from University Library of Munich, Germany

Abstract: The stock market is a major component of the financial sector of any economy and it is particularly affected by crude oil price. Moreover, the financialization of the oil market in the last three decades increased its association with the financial markets. The main purpose of this paper is to uncover similarities among the economy of selected countries based on the association between their national stock markets and crude oil price. This is achieved by time series clustering of the conditional correlations between the national stock market index returns and crude oil price returns estimated from bivariate GARCH models. The clusters do not lead to a clear classification concerning the countries stage of development, emerging and developed, or the geographical region which can be explained by crude oil market financialization.

Keywords: Crude Oil Prices; Stock Markets; GARCH models; Time Series Clustering. (search for similar items in EconPapers)
JEL-codes: C58 F21 G15 Q43 (search for similar items in EconPapers)
Date: 2022-01
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/113589/1/MPRA_paper_113589.pdf original version (application/pdf)

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:pra:mprapa:113589

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().