Interdependence of ISE 30 and Gold Spot, Natural Gas, Brent Oil: Copula-Garch Method
DOI:
https://doi.org/10.24203/ajas.v6i6.5577Keywords:
ISE 30, COPULA-GARCH, Gold Spot, Brent Oil, Natural GasAbstract
This paper aims to examine the relationship between ISE 30 and gold spot, natural gas and Brent Oil with the COPULA-GARCH method. In the study, we use closing prices of ISE 30 and Gold Spot, Brent Oil and Natural Gas. The results show that there is a weak dependence between ISE 30 and Brent Oil, Gold Spot but there is more strong between ISE 30 and Natural Gas.References
Lardic, S., & Mignon, V. The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration. Energy Policy, 34, 3910–3915 2006. https://doi.org/10.1016/j.enpol.2005.09.019
Pierce, J. L., Enzler, J. J., Fand, D. I., & Gordon, R. J. The Effects of External Inflationary Shocks. Source: Brookings Papers on Economic Activity, 1974(1), 13–61 1974.. Retrieved from http://www.jstor.org/stable/2534072
Brown, S. P. A., & Yücel, M. K. Energy prices and aggregate economic activity: an interpretative survey. The Quarterly Review of Economics and Finance, 42(2), 193–208 2002. https://doi.org/10.1016/S1062-9769(02)00138-2
Basher, S. A., & Sadorsky, P. Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224–251 2006. https://doi.org/10.1016/J.GFJ.2006.04.001
Hamilton, J. D. Oil and the Macroeconomy since World War II. Journal of Political Economy, 91(2), 228–248 1983. https://doi.org/10.1086/261140
Cong, R.-G., Wei, Y.-M., Jiao, J.-L., & Fan, Y. Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544–3553 2008. https://doi.org/10.1016/J.ENPOL.2008.06.006
Henriques, I., & Sadorsky, P. Oil prices and the stock prices of alternative energy companies. Energy Economics, 30(3), 998–1010 2008. https://doi.org/10.1016/J.ENECO.2007.11.001
Huang, R. D., Masulis, R. W., & Stoll, H. R. Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1–27 1996. https://doi.org/10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q
Miller, J. I., & Ratti, R. A. Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559–568 2009. https://doi.org/10.1016/J.ENECO.2009.01.009
Papapetrou, E. Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 23(5), 511–532, 2001. https://doi.org/10.1016/S0140-9883(01)00078-0
Park, J., & Ratti, R. A. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30(5), 2587–2608, 2008. https://doi.org/10.1016/J.ENECO.2008.04.003
Sadorsky, P. Oil price shocks and stock market activity. Energy Economics, 21(5), 449–469, 1999. https://doi.org/10.1016/S0140-9883(99)00020-1
Da Silva Filho, O. C., Ziegelmann, F. A., & Dueker, M. J. Modeling dependence dynamics through copulas with regime switching. Insurance: Mathematics and Economics, 50, 346–356, 2012.
Sukcharoen, K., Zohrabyan, T., Leatham, D., & Wu, X. Interdependence of oil prices and stock market indices: A copula approach. Energy Economics, 44, 331–339, 2014. https://doi.org/10.1016/J.ENECO.2014.04.012
Shi, W., Li, K. X., Yang, Z., & Wang, G. Time-varying copula models in theshipping derivatives market. Empirical Economics, 53, 1039–1058, 2017.
Zhu, H.-M., Li, R., & Li, S.. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. International Review of Economics & Finance, 29, 208–223, 2014 https://doi.org/10.1016/J.IREF.2013.05.015
Sklar, M. Fonctions de repartition an dimensions et leurs marges. Publ. inst. statist. univ. Paris, 8, 229-231, 1959.
Downloads
Published
Issue
Section
License
Copyright © The Author(s). This article is published under the Creative Commons Attribution License (CC BY 4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
