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Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach

Author

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  • Nader Trabelsi

Abstract

This paper investigates the negative tail risk dependence between oil shocks and stock indices (at aggregated and desegregated levels) for Saudi Arabia (KSA), United Arab Emirates (UAE) and Russia, over the period between 2007 and 2016. DCC-MGARCH approach and CoVaR measure are employed to assess the oil shock exposure. The results show that the tail dependence is significant and depends on the origin of the oil shocks, with intensity that varies across countries and sectors.

Suggested Citation

  • Nader Trabelsi, 2017. "Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 228-237, December.
    • Handle: RePEc:bor:bistre:v:17:y:2017:i:4:p:228-237
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    Cited by:

    1. Khreshna Syuhada & Arief Hakim, 2020. "Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies," PLOS ONE, Public Library of Science, vol. 15(12), pages 1-34, December.
    2. Sadeghi, Abdorasoul & Roudari, Soheil, 2022. "Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 76(C).
    3. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
    4. Khalfaoui, Rabeh & Sarwar, Suleman & Tiwari, Aviral Kumar, 2019. "Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management," Resources Policy, Elsevier, vol. 62(C), pages 22-32.
    5. Umar, Zaghum & Trabelsi, Nader & Zaremba, Adam, 2021. "Oil shocks and equity markets: The case of GCC and BRICS economies," Energy Economics, Elsevier, vol. 96(C).
    6. Emrah Ismail Cevik & Sel Dibooglu & Atif Awad Abdallah & Eisa Abdulrahman Al-Eisa, 2021. "Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia," International Economics and Economic Policy, Springer, vol. 18(1), pages 157-175, February.
    7. Basel Maraqa & Murad Bein, 2020. "Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil," Sustainability, MDPI, vol. 12(9), pages 1-14, May.
    8. Zhao, Jing & Cui, Luansong & Liu, Weiguo & Zhang, Qiwen, 2023. "Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach," Resources Policy, Elsevier, vol. 86(PB).
    9. Robiyanto Robiyanto & Bayu Adi Nugroho & Eka Handriani & Andrian Dolfriandra Huruta, 2020. "Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    10. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).

    More about this item

    Keywords

    Oil price shocks; Oil-exporting countries; Conditional VaR;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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