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Detrended cross-correlation analysis in quantiles between oil price and the US stock market

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  • Ben-Salha, Ousama
  • Mokni, Khaled

Abstract

Previous studies using the detrended cross-correlation analysis (DCCA) did not account for the conditional distribution of time series. To address this shortcoming, this paper extends the DCCA in a quantile-based framework to investigate the relationship between WTI crude oil spot price and the S&P500 index from January 1986 to August 2021 under different oil and stock markets conditions. The approach introduced in this research brings out new and exciting findings on the well-debated oil price-stock markets nexus. By considering four possible scenarios regarding the oil and stock markets conditions, results suggest that the sign and strength of cross-correlations between oil and stock markets vary according to the time scale and market condition. These findings are robust when using daily data and the Brent crude oil spot price. Furthermore, when analyzing the effect of the COVID-19 pandemic, findings generally reveal a rise in correlations between the two markets during the pandemic, suggesting the existence of contagion effects between them. Policy implications for both investors and market regulators are subsequently proposed.

Suggested Citation

  • Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
    • Handle: RePEc:eee:energy:v:242:y:2022:i:c:s0360544221031674
    DOI: 10.1016/j.energy.2021.122918
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    More about this item

    Keywords

    Crude oil price; S&500; Detrended cross-correlation analysis; Quantile; COVID-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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