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Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market

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  • Salles, Andre Assis de
  • Maria Eduarda, Silva
  • Paulo, Teles

Abstract

The stock market is a major component of the financial sector of any economy and it is particularly affected by crude oil price. Moreover, the financialization of the oil market in the last three decades increased its association with the financial markets. The main purpose of this paper is to uncover similarities among the economy of selected countries based on the association between their national stock markets and crude oil price. This is achieved by time series clustering of the conditional correlations between the national stock market index returns and crude oil price returns estimated from bivariate GARCH models. The clusters do not lead to a clear classification concerning the countries stage of development, emerging and developed, or the geographical region which can be explained by crude oil market financialization.

Suggested Citation

  • Salles, Andre Assis de & Maria Eduarda, Silva & Paulo, Teles, 2022. "Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market," MPRA Paper 113589, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:113589
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    More about this item

    Keywords

    Crude Oil Prices; Stock Markets; GARCH models; Time Series Clustering.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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