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Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam

  • Nguyen, Cuong C.
  • Bhatti, M. Ishaq

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1042443112000248
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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 22 (2012)
Issue (Month): 4 ()
Pages: 758-773

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Handle: RePEc:eee:intfin:v:22:y:2012:i:4:p:758-773
DOI: 10.1016/j.intfin.2012.03.004
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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