Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets

Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets

© 2018, Springer International Publishing AG. This study aims to examine the relationship between oil prices and stock markets in five ASEAN countries: Thailand, Indonesia, Malaysia, Singapore, and the Philippines. Copula approach is used for modelling dependence structure between variables. In esse...

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Main Authors: Paravee Maneejuk, Woraphon Yamaka, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038858065&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43866
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-438662018-01-24T04:14:31Z Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta © 2018, Springer International Publishing AG. This study aims to examine the relationship between oil prices and stock markets in five ASEAN countries: Thailand, Indonesia, Malaysia, Singapore, and the Philippines. Copula approach is used for modelling dependence structure between variables. In essence, this study considers four classes of copula, namely Archimedean copulas, Elliptical copulas, extreme value copulas, and mixed copulas, to examine the dependency between oil prices and stock market prices. We found that Thai, Malaysian, and Indonesian stock markets are likely to boom when crude oil prices increase while the Singaporean stock market as well as the Philippines’s stock market tend to move in the opposite direction to crude oil prices. However, the results show that these relationships are not strong. 2018-01-24T04:14:31Z 2018-01-24T04:14:31Z 2018-01-01 Book Series 1860949X 2-s2.0-85038858065 10.1007/978-3-319-73150-6_42 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038858065&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43866
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © 2018, Springer International Publishing AG. This study aims to examine the relationship between oil prices and stock markets in five ASEAN countries: Thailand, Indonesia, Malaysia, Singapore, and the Philippines. Copula approach is used for modelling dependence structure between variables. In essence, this study considers four classes of copula, namely Archimedean copulas, Elliptical copulas, extreme value copulas, and mixed copulas, to examine the dependency between oil prices and stock market prices. We found that Thai, Malaysian, and Indonesian stock markets are likely to boom when crude oil prices increase while the Singaporean stock market as well as the Philippines’s stock market tend to move in the opposite direction to crude oil prices. However, the results show that these relationships are not strong.
format Book Series
author Paravee Maneejuk
Woraphon Yamaka
Songsak Sriboonchitta
spellingShingle Paravee Maneejuk
Woraphon Yamaka
Songsak Sriboonchitta
Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
author_facet Paravee Maneejuk
Woraphon Yamaka
Songsak Sriboonchitta
author_sort Paravee Maneejuk
title Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
title_short Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
title_full Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
title_fullStr Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
title_full_unstemmed Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
title_sort mixed-copulas approach in examining the relationship between oil prices and asean’s stock markets
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038858065&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43866
_version_ 1681422453190950912

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