Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

被引：14

作者：

Yang, Lu ^{[1
]}

Yang, Lei ^{[2
]}

Ho, Kung-Cheng ^{[3
]}

Hamori, Shigeyuki ^{[4
]}

机构：

[1] Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Peoples R China

[2] Univ Sci & Technol China, Sch Management, Hefei 230026, Peoples R China

[3] Guangdong Univ Finance & Econ, Pearl River Delta Collaborat Innovat Ctr Sci Fina, Guangzhou 510320, Peoples R China

[4] Kobe Univ, Grad Sch Econ, Nada Ku, 2-1 Rokkodai, Kobe, Hyogo 6578501, Japan

来源：

ENERGIES | 2019年 / 12卷 / 21期

关键词：

oil price; stock market; GARCH-MIDAS; DCC-MIDAS; PRICE SHOCKS; VOLATILITY SPILLOVERS; ECONOMIC-ACTIVITY; EXCHANGE-RATES; CO-MOVEMENT; US STOCK; COINTEGRATION; DEPENDENCE; RETURNS; MODEL;

D O I：

10.3390/en12214123

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

This study employed a dynamic conditional correlation-mixed-data sampling (DCC-MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities.

引用

页数：15

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