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The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations

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  • Shekhar Mishra
  • Sathya Swaroop Debasish

Abstract

The paper examines the dependence between global crude oil price and stock indices in economies of fast emerging Asian nations, which are also termed to be major oil consumers. The paper employs quantile regression method (QRM) to analyse the relationship by using monthly data from April 2004 to April 2017. Since ordinary least squares (OLS) method estimates from data suffering from structural breaks, non-normality conditions and heterogeneous distribution may be biased and not much favourable, quantile regression method termed to a robust method is adopted to analyse the same. The analysis revealed the asymmetric effects of dependence between crude oil price and stock index returns. The observed positive relation between the given variables was quite contrary to the usual presumption of inverse relation relationship existing for the oil importing nations. The degree of significance for the positive dependence between the crude oil price and stock index returns also varied across the quantiles for economies under study.

Suggested Citation

  • Shekhar Mishra & Sathya Swaroop Debasish, 2019. "The quantile dependence between global crude oil price and stock markets in emerging Asia: evidence from major oil consuming nations," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 9(3), pages 309-331.
    • Handle: RePEc:ids:afasfa:v:9:y:2019:i:3:p:309-331
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    Cited by:

    1. Rabhi, Ayoub, 2020. "Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets," MPRA Paper 101774, University Library of Munich, Germany.

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