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
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038858065&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58518
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-58518
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spelling	th-cmuir.6653943832-585182018-09-05T04:25:50Z Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta Computer Science © 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. 2018-09-05T04:25:50Z 2018-09-05T04:25:50Z 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/6653943832/58518
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science Paravee Maneejuk Woraphon Yamaka Songsak Sriboonchitta Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
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
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/6653943832/58518
_version_	1681425080403361792

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

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