On The Dynamic Dependence Between Oil Prices and Stock Market Returns: A Copula-GARCH Approach

Mondher Kouki, Samia Ben Massoud, Achouak Barguellil

Abstract


This study investigates the conditional dependence structure between crude oil price and stock returns markets in twelve oil importing and exporting countries from 1999 to 2016 by using the conditional copula-GARCH model. Our empirical results indicate the superiority of our approach and show evidence of significant tail dependence of the returns in unstable financial environment.


Full Text:

PDF


DOI: https://doi.org/10.5296/ijafr.v9i1.14243

Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Mondher Kouki, Samia Ben Massoud, Achouak Barguellil

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

International Journal of Accounting and Financial Reporting  ISSN 2162-3082

Copyright © Macrothink Institute 

'Macrothink Institute' is a trademark of Macrothink Institute, Inc.

To make sure that you can receive messages from us, please add the 'macrothink.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.