The Crude Oil-Stock Market Dependence and Its Determinants: Evidence from Emerging Economies

This article uses dependence-switching copulas and time-varying single copulas to characterize the world oil-stock market dependence in a broad range of emerging economies, and it then conducts a regression analysis to explore the determinants of the market dependence patterns. Our results support a positive crude oil-emerging stock market link overall. The regression results show that oil return volatility, country-specific variables (i.e., stock market volatility, petroleum production growth), and US economic policy uncertainty have positive effects on the oil-stock dependence. However, a strong US economy tends to decrease the oil-stock dependence. The robustness of these findings is confirmed.