Interdependence of oil prices and stock market indices: A copula approach
In this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007. We exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage. Oil price series are converted into local currency to account for possi...
Gespeichert in:
| Veröffentlicht in: | Energy economics 2014-07, Vol.44, p.331-339 |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 339 |
|---|---|
| container_issue | |
| container_start_page | 331 |
| container_title | Energy economics |
| container_volume | 44 |
| creator | Sukcharoen, Kunlapath Zohrabyan, Tatevik Leatham, David Wu, Ximing |
| description | In this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007. We exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage. Oil price series are converted into local currency to account for possible exchange rate effects. The method of copula is used to model the general dependence between stock returns and oil price returns. Our findings suggest a weak dependence between oil prices and stock indices for most cases, which are consistent with the results from previous studies. Exceptions are for the stock index returns of large oil consuming and producing countries (United States and Canada), which are shown to have a relatively strong dependence with the oil price series. The introduction of Euro in 1999 altered considerably dependence between oil prices and stock returns.
•The relationship between the oil price and stock market indices is investigated.•Oil and gas stock companies are excluded to remove the obvious direct linkage.•The method of copula is used to model the general dependence between series.•There is a weak dependence between oil prices and stock indices for most cases.•The introduction of Euro in 1999 altered considerably dependence structure. |
| doi_str_mv | 10.1016/j.eneco.2014.04.012 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_1567039481</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0140988314000966</els_id><sourcerecordid>3361118421</sourcerecordid><originalsourceid>FETCH-LOGICAL-c524t-d58410504146399da6168193b5b232aaf614e805e1550fea5c61e8012c9a7e03</originalsourceid><addsrcrecordid>eNqNkc9rFTEQx4NY8Nn6F3gJiOBlnzP59RLBQymtPih46T2k2VnM63azJvsE_3uzvuLBgxQGhmE-M5N8v4y9RdgioPl42NJEMW8FoNpCCxQv2AbtTnYGLb5km9aAzlkrX7HXtR4AQBttN2y_nxYqPc009TRF4nngOY18LilS5WHqeV1yfOCPoTzQwtPUr41P_JLHPB_HwMM8lxzi9wt2NoSx0punfM7ubq7vrr52t9--7K8ub7uohVq6XluFoEGhMtK5Phg0Fp281_dCihAGg4osaEKtYaCgo8FWo4gu7AjkOftwWtuu_jhSXfxjqpHGMUyUj9WjNjuQTll8BqqNcALBPQdVTku5W9F3_6CHfCxT-3KjlLBWWCcbJU9ULLnWQoNvijYNf3kEv3rmD_6PZ371zEMLFG3q_dPuUGMYhxKmmOrfUWG1lWDWN3w-cdSE_pmo-BrTal-fCsXF9zn9985vdCSpyA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1542882893</pqid></control><display><type>article</type><title>Interdependence of oil prices and stock market indices: A copula approach</title><source>PAIS Index</source><source>Elsevier ScienceDirect Journals</source><creator>Sukcharoen, Kunlapath ; Zohrabyan, Tatevik ; Leatham, David ; Wu, Ximing</creator><creatorcontrib>Sukcharoen, Kunlapath ; Zohrabyan, Tatevik ; Leatham, David ; Wu, Ximing</creatorcontrib><description>In this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007. We exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage. Oil price series are converted into local currency to account for possible exchange rate effects. The method of copula is used to model the general dependence between stock returns and oil price returns. Our findings suggest a weak dependence between oil prices and stock indices for most cases, which are consistent with the results from previous studies. Exceptions are for the stock index returns of large oil consuming and producing countries (United States and Canada), which are shown to have a relatively strong dependence with the oil price series. The introduction of Euro in 1999 altered considerably dependence between oil prices and stock returns.
•The relationship between the oil price and stock market indices is investigated.•Oil and gas stock companies are excluded to remove the obvious direct linkage.•The method of copula is used to model the general dependence between series.•There is a weak dependence between oil prices and stock indices for most cases.•The introduction of Euro in 1999 altered considerably dependence structure.</description><identifier>ISSN: 0140-9883</identifier><identifier>EISSN: 1873-6181</identifier><identifier>DOI: 10.1016/j.eneco.2014.04.012</identifier><identifier>CODEN: EECODR</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Applied sciences ; Canada ; Copula ; Crude oil prices ; Currency in circulation ; Dependence ; Economic data ; Economics ; Energy ; Energy economics ; Eurocurrency market ; Exact sciences and technology ; Exchange rates ; Foreign exchange rates ; Fossil fuels and derived products ; General aspects ; General, economic and professional studies ; Indexes ; International stock markets ; Methodology. Modelling ; Oil ; Oil price ; Oil prices ; Petroleum industry ; Prices ; Probability ; Rates of return ; Securities markets ; Stock exchange ; Stock exchanges ; Stock indexing ; Stock market ; Stocks ; Studies ; U.S.A ; United States</subject><ispartof>Energy economics, 2014-07, Vol.44, p.331-339</ispartof><rights>2014 Elsevier B.V.</rights><rights>2015 INIST-CNRS</rights><rights>Copyright Elsevier Science Ltd. Jul 2014</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c524t-d58410504146399da6168193b5b232aaf614e805e1550fea5c61e8012c9a7e03</citedby><cites>FETCH-LOGICAL-c524t-d58410504146399da6168193b5b232aaf614e805e1550fea5c61e8012c9a7e03</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S0140988314000966$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3537,27844,27845,27903,27904,65309</link.rule.ids><backlink>$$Uhttp://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=28583069$$DView record in Pascal Francis$$Hfree_for_read</backlink></links><search><creatorcontrib>Sukcharoen, Kunlapath</creatorcontrib><creatorcontrib>Zohrabyan, Tatevik</creatorcontrib><creatorcontrib>Leatham, David</creatorcontrib><creatorcontrib>Wu, Ximing</creatorcontrib><title>Interdependence of oil prices and stock market indices: A copula approach</title><title>Energy economics</title><description>In this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007. We exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage. Oil price series are converted into local currency to account for possible exchange rate effects. The method of copula is used to model the general dependence between stock returns and oil price returns. Our findings suggest a weak dependence between oil prices and stock indices for most cases, which are consistent with the results from previous studies. Exceptions are for the stock index returns of large oil consuming and producing countries (United States and Canada), which are shown to have a relatively strong dependence with the oil price series. The introduction of Euro in 1999 altered considerably dependence between oil prices and stock returns.
•The relationship between the oil price and stock market indices is investigated.•Oil and gas stock companies are excluded to remove the obvious direct linkage.•The method of copula is used to model the general dependence between series.•There is a weak dependence between oil prices and stock indices for most cases.•The introduction of Euro in 1999 altered considerably dependence structure.</description><subject>Applied sciences</subject><subject>Canada</subject><subject>Copula</subject><subject>Crude oil prices</subject><subject>Currency in circulation</subject><subject>Dependence</subject><subject>Economic data</subject><subject>Economics</subject><subject>Energy</subject><subject>Energy economics</subject><subject>Eurocurrency market</subject><subject>Exact sciences and technology</subject><subject>Exchange rates</subject><subject>Foreign exchange rates</subject><subject>Fossil fuels and derived products</subject><subject>General aspects</subject><subject>General, economic and professional studies</subject><subject>Indexes</subject><subject>International stock markets</subject><subject>Methodology. Modelling</subject><subject>Oil</subject><subject>Oil price</subject><subject>Oil prices</subject><subject>Petroleum industry</subject><subject>Prices</subject><subject>Probability</subject><subject>Rates of return</subject><subject>Securities markets</subject><subject>Stock exchange</subject><subject>Stock exchanges</subject><subject>Stock indexing</subject><subject>Stock market</subject><subject>Stocks</subject><subject>Studies</subject><subject>U.S.A</subject><subject>United States</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNqNkc9rFTEQx4NY8Nn6F3gJiOBlnzP59RLBQymtPih46T2k2VnM63azJvsE_3uzvuLBgxQGhmE-M5N8v4y9RdgioPl42NJEMW8FoNpCCxQv2AbtTnYGLb5km9aAzlkrX7HXtR4AQBttN2y_nxYqPc009TRF4nngOY18LilS5WHqeV1yfOCPoTzQwtPUr41P_JLHPB_HwMM8lxzi9wt2NoSx0punfM7ubq7vrr52t9--7K8ub7uohVq6XluFoEGhMtK5Phg0Fp281_dCihAGg4osaEKtYaCgo8FWo4gu7AjkOftwWtuu_jhSXfxjqpHGMUyUj9WjNjuQTll8BqqNcALBPQdVTku5W9F3_6CHfCxT-3KjlLBWWCcbJU9ULLnWQoNvijYNf3kEv3rmD_6PZ371zEMLFG3q_dPuUGMYhxKmmOrfUWG1lWDWN3w-cdSE_pmo-BrTal-fCsXF9zn9985vdCSpyA</recordid><startdate>20140701</startdate><enddate>20140701</enddate><creator>Sukcharoen, Kunlapath</creator><creator>Zohrabyan, Tatevik</creator><creator>Leatham, David</creator><creator>Wu, Ximing</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope></search><sort><creationdate>20140701</creationdate><title>Interdependence of oil prices and stock market indices: A copula approach</title><author>Sukcharoen, Kunlapath ; Zohrabyan, Tatevik ; Leatham, David ; Wu, Ximing</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c524t-d58410504146399da6168193b5b232aaf614e805e1550fea5c61e8012c9a7e03</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Applied sciences</topic><topic>Canada</topic><topic>Copula</topic><topic>Crude oil prices</topic><topic>Currency in circulation</topic><topic>Dependence</topic><topic>Economic data</topic><topic>Economics</topic><topic>Energy</topic><topic>Energy economics</topic><topic>Eurocurrency market</topic><topic>Exact sciences and technology</topic><topic>Exchange rates</topic><topic>Foreign exchange rates</topic><topic>Fossil fuels and derived products</topic><topic>General aspects</topic><topic>General, economic and professional studies</topic><topic>Indexes</topic><topic>International stock markets</topic><topic>Methodology. Modelling</topic><topic>Oil</topic><topic>Oil price</topic><topic>Oil prices</topic><topic>Petroleum industry</topic><topic>Prices</topic><topic>Probability</topic><topic>Rates of return</topic><topic>Securities markets</topic><topic>Stock exchange</topic><topic>Stock exchanges</topic><topic>Stock indexing</topic><topic>Stock market</topic><topic>Stocks</topic><topic>Studies</topic><topic>U.S.A</topic><topic>United States</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Sukcharoen, Kunlapath</creatorcontrib><creatorcontrib>Zohrabyan, Tatevik</creatorcontrib><creatorcontrib>Leatham, David</creatorcontrib><creatorcontrib>Wu, Ximing</creatorcontrib><collection>Pascal-Francis</collection><collection>CrossRef</collection><collection>Environment Abstracts</collection><collection>Materials Business File</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>Environmental Sciences and Pollution Management</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Environment Abstracts</collection><jtitle>Energy economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Sukcharoen, Kunlapath</au><au>Zohrabyan, Tatevik</au><au>Leatham, David</au><au>Wu, Ximing</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Interdependence of oil prices and stock market indices: A copula approach</atitle><jtitle>Energy economics</jtitle><date>2014-07-01</date><risdate>2014</risdate><volume>44</volume><spage>331</spage><epage>339</epage><pages>331-339</pages><issn>0140-9883</issn><eissn>1873-6181</eissn><coden>EECODR</coden><abstract>In this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007. We exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage. Oil price series are converted into local currency to account for possible exchange rate effects. The method of copula is used to model the general dependence between stock returns and oil price returns. Our findings suggest a weak dependence between oil prices and stock indices for most cases, which are consistent with the results from previous studies. Exceptions are for the stock index returns of large oil consuming and producing countries (United States and Canada), which are shown to have a relatively strong dependence with the oil price series. The introduction of Euro in 1999 altered considerably dependence between oil prices and stock returns.
•The relationship between the oil price and stock market indices is investigated.•Oil and gas stock companies are excluded to remove the obvious direct linkage.•The method of copula is used to model the general dependence between series.•There is a weak dependence between oil prices and stock indices for most cases.•The introduction of Euro in 1999 altered considerably dependence structure.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.eneco.2014.04.012</doi><tpages>9</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2014-07, Vol.44, p.331-339 |
| issn | 0140-9883 1873-6181 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1567039481 |
| source | PAIS Index; Elsevier ScienceDirect Journals |
| subjects | Applied sciences Canada Copula Crude oil prices Currency in circulation Dependence Economic data Economics Energy Energy economics Eurocurrency market Exact sciences and technology Exchange rates Foreign exchange rates Fossil fuels and derived products General aspects General, economic and professional studies Indexes International stock markets Methodology. Modelling Oil Oil price Oil prices Petroleum industry Prices Probability Rates of return Securities markets Stock exchange Stock exchanges Stock indexing Stock market Stocks Studies U.S.A United States |
| title | Interdependence of oil prices and stock market indices: A copula approach |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-28T01%3A16%3A37IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Interdependence%20of%20oil%20prices%20and%20stock%20market%20indices:%20A%20copula%20approach&rft.jtitle=Energy%20economics&rft.au=Sukcharoen,%20Kunlapath&rft.date=2014-07-01&rft.volume=44&rft.spage=331&rft.epage=339&rft.pages=331-339&rft.issn=0140-9883&rft.eissn=1873-6181&rft.coden=EECODR&rft_id=info:doi/10.1016/j.eneco.2014.04.012&rft_dat=%3Cproquest_cross%3E3361118421%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1542882893&rft_id=info:pmid/&rft_els_id=S0140988314000966&rfr_iscdi=true |