Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis

The relationship between oil prices and stock markets is commonly studied, in order to understand how financial markets are influenced by this important real asset. The evidence of any kind of interdependence is important, because investors could have additional information about the evolution of those kinds of assets. In this paper, we analyse the detrended cross-correlation coefficient between oil price and 20 different stock markets. We split our sample, in order to analyse the behaviour of that correlation before and after the 2008 crisis, allowing us to use the ΔρDCCA, searching for a possible increase in the connection between both variables. Based on the existing literature, which used simulated and real time series to define the critical values for ΔρDCCA, we study the statistical significance of this variable Our results show some evidence that before the crisis the correlations were low, but increased after the crisis, which could be understood as an increase in the relationship between oil and stock markets. This is an interesting result because it shows that stock markets are now more exposed to oil price fluctuation than before the crisis.