Abstract
ABSTRACTThis 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.
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