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Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System

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  • Trabelsi, Nader

Abstract

This paper investigates the potential asymmetry in international oil market and the Saudi Arabia sectors tail dependence. Our methodology incorporates copula-based dependence measures with ARMA-GARCH margins, during the period 2007–2016. Empirically, results are validated by establishing nonparametric tests of independence and Goodness-of-fit test for copula. The aim results have shown that the responses of the sector indices to oil price fluctuations are significantly asymmetric, especially for the left tail, except for Petrochemical sector index and Agricultures & Food sector index where tail dependence is symmetric.

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  • Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
    • Handle: RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41
    DOI: 10.1016/j.jeca.2017.05.001
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    4. Md Fouad Bin Amin & Mohd Ziaur Rehman, 2022. "Asymmetric Linkages of Oil Prices, Money Supply, and TASI on Sectoral Stock Prices in Saudi Arabia: A Non-Linear ARDL Approach," SAGE Open, , vol. 12(1), pages 21582440211, January.
    5. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
    6. Alqahtani, Faisal & Hamdi, Besma & Hammoudeh, Shawkat, 2021. "The effects of global factors on the Saudi Arabia equity market by firm size: Implications for risk management based on quantile analysis and frequency domain causality," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
    7. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
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    9. Abootaleb Shirvani & Dimitri Volchenkov, 2019. "A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index," Papers 1911.01826, arXiv.org.
    10. Patterson C. Ekeocha & Dinci J. Penzin & Jonathan Emenike Ogbuabor, 2020. "Energy Consumption and Economic Growth in Nigeria: A Test of Alternative Specifications," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 369-379.
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    More about this item

    Keywords

    Oil price shocks; Asymmetry; Major oil exporting countries; Tail dependence; Copula; Goodness-of-fit test;
    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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