IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v53y2021i11p1249-1263.html
   My bibliography  Save this article

Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets: a GARCH-vine-copula method

Author

Listed:
  • Chaohua He
  • Guangchen Li
  • Hai Fan
  • Weixian Wei

Abstract

The relationship between markets has always been a topic of heated debate among scholars from various countries. One of the most important concerns is the need to model the relationships between the crude oil market and other markets. Based on daily return observations from 2018 to 2019, we apply a GARCH-vine-copula approach to probe the linkage between Shanghai crude oil futures, stock, foreign exchange, and gold markets. We find that obvious tail dependencies do exist between these markets. And the crude oil futures market occupies a dominant position. Moreover, when the Shanghai crude oil futures market is taken as the known condition, the links between different markets reduce to some extent. Finally, value at risk results denote that the risk of the Shanghai crude oil futures market is relatively high, but portfolio investment can effectively reduce the risk. Moreover, the model fitting results at different confidence levels have passed the Kupiec backtest, indicating that the model in this paper fits the relationship between these markets well.

Suggested Citation

  • Chaohua He & Guangchen Li & Hai Fan & Weixian Wei, 2021. "Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets: a GARCH-vine-copula method," Applied Economics, Taylor & Francis Journals, vol. 53(11), pages 1249-1263, March.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:11:p:1249-1263
    DOI: 10.1080/00036846.2020.1828566
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2020.1828566
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2020.1828566?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ying-Hui Shao & Ying-Lin Liu & Yan-Hong Yang, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Apr 2024.
    2. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
    3. Leila Ben Salem & Montassar Zayati & Ridha Nouira & Christophe Rault, 2024. "Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach," CESifo Working Paper Series 10989, CESifo.
    4. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:53:y:2021:i:11:p:1249-1263. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.