Discussion Paper

No. 2016-46 | November 14, 2016
Extreme Dependence Between Crude Oil and Stock Markets in Asia-Pacific Regions: Evidence from Quantile Regression

Abstract

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and structure of the dependence, and furthermore, the results present an asymmetric and heterogeneous dependence. Moreover, the dependence increases dramatically after a structural break point, meaning a crisis. Additionally, the authors observe a more significant dependence at the lower tails than the upper tails. They demonstrate the positive relationship at low quantiles, which is evidence of positive dependence in recessions or bearish markets.

JEL Classification:

E44, Q43

Assessment

  • Downloads: 596

Links

Cite As

Huiming Zhu, Hui Huang, Cheng Peng, and Yan Yang (2016). Extreme Dependence Between Crude Oil and Stock Markets in Asia-Pacific Regions: Evidence from Quantile Regression. Economics Discussion Papers, No 2016-46, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2016-46


Comments and Questions


Anonymous - Referee Report 1
January 05, 2017 - 15:28

See attached file


Huiming Zhu - Thank Referees’ constructive comments
January 19, 2017 - 09:29

Dear Referees,
We really appreciate your response concerning this discussion paper to Economics-The Open Access, Open-Assessment E-journal. We also would like to express great appreciation to you for your constructive comments. We have thoughtfully taken into these comments. We are modifying the relevant content and we will upload the ...[more]

... modified version after a period of time.
Thanks very much again for your attention to our paper. Once again, thank you for your help to our paper processing.
Yours Sincerely,
Huiming Zhu
College of Business Administration
Hunan University, Changsha 410082, P.R. China


Huiming Zhu, - Reply to Referee Report 1
March 03, 2017 - 10:19

See attached file


Huiming Zhu - Reply to Referee Report 1
March 03, 2017 - 10:20

See attached file