What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach*

Gong, Yuting, Bu, Ruijun ORCID: 0000-0002-3947-3038 and Chen, Qiang (2022) What Affects the Relationship Between Oil Prices and the US Stock Market? A Mixed-Data Sampling Copula Approach*. JOURNAL OF FINANCIAL ECONOMETRICS, 20 (2). pp. 253-277.

Text
Copula-MIDAS 2019.pdf - Author Accepted Manuscript
Download (1MB) | Preview

Official URL: http://dx.doi.org/10.1093/jjfinec/nbz043

Abstract

<jats:title>Abstract</jats:title> <jats:p>The relationship between oil prices and stocks is an important issue for portfolio selection and risk management. This article proposes a mixed frequency data sampling copula model with explanatory variables that incorporates low-frequency explanatory variables into a high-frequency dynamic copula model. It enables us to investigate the impacts of economic factors on the relationship between oil and stocks. It is found that the dependence of oil and stock markets is influenced by aggregate demand and stock-specific negative news. The impact of aggregate demand lasts for two years, while the impact of stock-specific news lasts for one quarter.</jats:p>

Item Type:	Article
Uncontrolled Keywords:	copula, crude oil, dependence, stock, mixed frequency
Depositing User:	Symplectic Admin
Date Deposited:	03 Jan 2020 11:41
Last Modified:	19 Jan 2023 00:12
DOI:	10.1093/jjfinec/nbz043
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3067751