Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
The uncertainty of a country's economy, especially emerging economies, is partially due to the fluctuating of oil prices. There is also a growing concern about the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements. This paper attempts to understand the relationship between China and Vietnam markets using nonparametric (chi- and K-plots) and parametric (copula) methods. We observe that the left tail dependency between international oil prices and Vietnam's stock market while Chinese market shows opposite results. These findings provide a new insight into the behavior between oil prices and stock markets, thus leading to meaningful implications for policy makers, investors and risk managers dealing with these two markets.
Volume (Year): 22 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/intfin|
When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:22:y:2012:i:4:p:758-773. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.