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Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula

Author

Listed:
  • Wanat, Stanisław
  • Papież, Monika
  • Śmiech, Sławomir

Abstract

The aim of the paper is to investigate dynamic linkages between the main European stock markets and two commodity prices: crude oil and gold. For the empirical analysis we use daily data from the period January 2, 1998 to June 30, 2014. To investigate Granger causality a nonparametric test based on the empirical copula is used, which was proposed by Genest and Rémillard (2004). The analysis is conducted in rolling windows. There are tree main findings of the study. First, relations between commodity prices and stock markets are not stable in time. Second, commodity prices do not Granger cause the European stock market indexes. Third, only the price of gold depends on past values of stock market indexes for almost all sub-periods.

Suggested Citation

  • Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:57706
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    File URL: https://mpra.ub.uni-muenchen.de/57706/1/MPRA_paper_57706.pdf
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    References listed on IDEAS

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    Keywords

    Granger causality in distribution; nonparametric test based on the empirical copula; European stock markets; crude oil; gold;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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