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

Kouki, Mondher; Massoud, Samia Ben; Barguellil, Achouak

doi:10.5296/ijafr.v9i1.14243

Cited by 2 publications

(2 citation statements)

References 30 publications

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“…The study showed a correlation between the financial and real estate markets in mainland China and Hong Kong (Sui et al, 2019); and some scholars based on the model and the empirical analysis of the Istanbul Stock Exchange, analyze the correlation between oil price and the stock market. The results show that all stock market returns and oil price changes are positively correlated, and there is a weak dependence structure between Istanbul Stock Exchange and Brent crude oil price (Ayse 2019;Kouki et al, 2019).…”

Section: Introductionmentioning

confidence: 93%

Critical Energy Minerals: A Material Enabler for Carbon Neutrality

2024

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Section: Introductionmentioning

confidence: 93%

Critical Energy Minerals: A Material Enabler for Carbon Neutrality

2024

Frontiers Research Topics

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Section: Introductionmentioning

confidence: 99%

Volatility research of nickel futures and spot prices based on copula-GARCH model

Hong

Luo²,

Li³

et al. 2022

Front. Energy Res.

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Nickel, an essential strategic emerging mineral in China, plays a vital role in promoting the development of the new energy vehicle industry and protecting the security of energy resources. However, the linkage between international and domestic nickel futures markets and the spot market is increasing. It is necessary to analyze and study the correlation characteristics and influence mechanisms to help investors avoid risks and judge the market situation which will improve the risk control ability and promote the steady development of the domestic market. Therefore, from the perspective of international and domestic markets and based on the yield sequence of the nickel futures prices and the spot prices, the study first discusses the characteristics of the volatility aggregation effect and asymmetries of the nickel futures and spot prices. Second, select an appropriate GARCH model to fit the marginal distribution sequence of the yields. Third, use the Copula function to connect the financial time series to find the correlation. The results indicate that the Copula-GARCH model can better fit the tail correlation between nickel futures market and spot market. Finally, we put forward policy recommendations for strengthening and improving the domestic nickel futures market, actively participating in the international competition mechanism, and preventing and controlling the risk of market price fluctuations.

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

Cited by 2 publications

References 30 publications

Critical Energy Minerals: A Material Enabler for Carbon Neutrality

Critical Energy Minerals: A Material Enabler for Carbon Neutrality

Volatility research of nickel futures and spot prices based on copula-GARCH model

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