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

被引：20

作者：

Trabelsi, Nader ^{[1
,2
]}

机构：

[1] Al Imam Mohammad Ibn Saud Islamic Univ IMSIU, Coll Econ & Adm Sci, Dept Finance & Investment, POB 5701, Riyadh, Saudi Arabia

[2] Univ Sfax, Fac Econ & Management FSEG Sfax, BP 3018, Sfax, Tunisia

来源：

BORSA ISTANBUL REVIEW | 2017年 / 17卷 / 04期

关键词：

Oil price shocks; Oil-exporting countries; Conditional VaR; SYSTEMIC RISK; GAS COMPANIES; CANADIAN OIL; PRICES; RETURNS; MARKETS; SPILLOVERS; VOLATILITY; SHOCKS; IMPACT;

D O I：

10.1016/j.bir.2017.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. Copyright (c) 2017, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B. V. This is an open access article under the CC BY-NCND license

引用

页码：228 / 237

页数：10

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