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Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market

Salles, Andre Assis de and Maria Eduarda, Silva and Paulo, Teles (2022): Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market. Published in: Open Journal of Business and Management , Vol. 10, (January 2022): pp. 155-174.

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Abstract

The stock market is a major component of the financial sector of any economy and it is particularly affected by crude oil price. Moreover, the financialization of the oil market in the last three decades increased its association with the financial markets. The main purpose of this paper is to uncover similarities among the economy of selected countries based on the association between their national stock markets and crude oil price. This is achieved by time series clustering of the conditional correlations between the national stock market index returns and crude oil price returns estimated from bivariate GARCH models. The clusters do not lead to a clear classification concerning the countries stage of development, emerging and developed, or the geographical region which can be explained by crude oil market financialization.

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