Abstract
Using a time-varying GJR copula approach, we determine the conditional dependence of the GCC stock indices on oil price between 2007 and 2016. We show how to improve the forecasting accuracy of the co-movement of energy and stock prices in an equally weighted portfolio. Contrary to prior findings, we demonstrate that due to the different co-movements across the GCC stock indices, portfolios of oil assets and several GCC stocks are less likely to be affected by systemic risk. The different co-movements across several stock indices over time provide different entry and exit points for stock investors. This approach is in line with the ‘buy low/sell high’ adage.
| Original language | English |
|---|---|
| Pages (from-to) | 81-91 |
| Number of pages | 11 |
| Journal | Economic Modelling |
| Volume | 77 |
| DOIs | |
| Publication status | Published - 1 Mar 2019 |
Keywords
- Co-movement
- Copulas
- Crude oil prices
- Tail dependence
Cite this
}
Oil price and Gulf Corporation Council stock indices : new evidence from time-varying copula models. / Fenech, Jean-Pierre; Vosgha, Hamed.
In: Economic Modelling, Vol. 77, 01.03.2019, p. 81-91.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Oil price and Gulf Corporation Council stock indices
T2 - new evidence from time-varying copula models
AU - Fenech, Jean-Pierre
AU - Vosgha, Hamed
PY - 2019/3/1
Y1 - 2019/3/1
N2 - Using a time-varying GJR copula approach, we determine the conditional dependence of the GCC stock indices on oil price between 2007 and 2016. We show how to improve the forecasting accuracy of the co-movement of energy and stock prices in an equally weighted portfolio. Contrary to prior findings, we demonstrate that due to the different co-movements across the GCC stock indices, portfolios of oil assets and several GCC stocks are less likely to be affected by systemic risk. The different co-movements across several stock indices over time provide different entry and exit points for stock investors. This approach is in line with the ‘buy low/sell high’ adage.
AB - Using a time-varying GJR copula approach, we determine the conditional dependence of the GCC stock indices on oil price between 2007 and 2016. We show how to improve the forecasting accuracy of the co-movement of energy and stock prices in an equally weighted portfolio. Contrary to prior findings, we demonstrate that due to the different co-movements across the GCC stock indices, portfolios of oil assets and several GCC stocks are less likely to be affected by systemic risk. The different co-movements across several stock indices over time provide different entry and exit points for stock investors. This approach is in line with the ‘buy low/sell high’ adage.
KW - Co-movement
KW - Copulas
KW - Crude oil prices
KW - Tail dependence
UR - http://www.scopus.com/inward/record.url?scp=85064183593&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2018.09.009
DO - 10.1016/j.econmod.2018.09.009
M3 - Article
VL - 77
SP - 81
EP - 91
JO - Economic Modelling
JF - Economic Modelling
SN - 0264-9993
ER -