Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression

Arbeitspapier

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and structure of the dependence, and furthermore, the results present an asymmetric and heterogeneous dependence. Moreover, the dependence increases dramatically after a structural break point, meaning a crisis. Additionally, the authors observe a more significant dependence at the lower tails than the upper tails. They demonstrate the positive relationship at low quantiles, which is evidence of positive dependence in recessions or bearish markets.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economics Discussion Papers ; No. 2016-46

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Energy and the Macroeconomy
• Subject: Extreme dependence ; Crude oil ; Asia-Pacific stock market ; Quantile regression ; Structural breaks

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Zhu, Huiming ; Huang, Hui ; Peng, Cheng ; Yang, Yan
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/148014
• Last update: 10.03.2025, 11:41 AM CET