This study combines the variational mode decomposition (VMD) method and static and time-varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets (S&P500, stoxx600, DJPI and TSX indexes) during bear, normal and bull markets under different investment horizons. Furthermore, it analyzes the upside and downside short- and long-run risk spillovers between oil and stock markets by quantifying three market risk measures, namely the value at risk (VaR), conditional VaR (CoVaR) and the delta CoVaR (∆CoVaR). The results show that there is a tail dependence between oil and all stock markets for the raw return series. By considering time horizons, we show that there is an average dependence between the considered markets for the short-run horizons. However, the tail dependence is also found for the long-run horizons between the oil and stock markets, with the exception of the S&P500 index which exhibits average dependence with the oil market. Moreover, we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short-and long run horizons. Finally, the market risk spillovers are asymmetric over the time and investment horizons.

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach

What do we know about oil prices and stock returns

Currency unions and trade: A post-EMU reassessment

Do oil prices and stock markets move in tandem or in opposite directions? The complex and time varying relationship between oil prices and stock markets has caught the attention of the financial press, investors, policymakers, researchers, and the general public in recent years. In light of such attention, this paper reviews research on the oil price and stock market relationship. The majority of papers we survey study the impacts of oil markets on stock markets, whereas, little research in the reverse direction exists. Our review finds that the causal effects between oil and stock markets depend heavily on whether research is performed using aggregate stock market indices, sectorial indices, or firm-level data and whether stock markets operate in net oil-importing or net oil-exporting countries. Additionally, conclusions vary depending on whether studies use symmetric or asymmetric changes in the price of oil, or whether they focus on unexpected changes in oil prices. Finally, we find that most studies show oil price volatility transmits to stock market volatility, and that including measures of stock market performance improves forecasts of oil prices and oil price volatility. Several important avenues for further research are identified.

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Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence

Crude oil and stock markets: Causal relationships in tails?

This paper analyzes the determinants of housing prices in Hong Kong by using property transaction data of condominium units from Taikoo Shing, one of the largest real estate properties in Hong Kong. We use a hedonic pricing model for the empirical analysis and estimate the model by using the Box-Cox quantile regression method. The empirical results show that this method provides a more comprehensive description of housing price determinants. Housing prices and characteristics have a nonlinear relationship, and this relationship varies across all quantiles. In addition, the response of housing prices to various housing characteristics varies across quantiles. For example, an increase in the size of the gross floor area is more valued at higher quantiles. Other variables have differential effects on housing prices across the distribution of housing prices. We also perform a simple simulation for model predictability and show that our model outperforms other models which have been frequently used in the previous studies.

Hyung-Gun Kim

Papers

Crude oil and stock markets: Causal relationships in tails?

Determinants of Housing Prices in Hong Kong: A Box-Cox Quantile Regression Approach

Do net positions in the futures market cause spot prices of crude oil

The role of financial speculation in the energy future markets: A new time-varying coefficient approach