On The Dynamic Dependence Between Oil Prices and Stock Market Returns: A Copula-GARCH Approach

Mondher Kouki, Samia Ben Massoud, Achouak Barguellil


This study investigates the conditional dependence structure between crude oil price and stock returns markets in twelve oil importing and exporting countries from 1999 to 2016 by using the conditional copula-GARCH model. Our empirical results indicate the superiority of our approach and show evidence of significant tail dependence of the returns in unstable financial environment.

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DOI: https://doi.org/10.5296/ijafr.v9i1.14243


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Copyright (c) 2019 Mondher Kouki, Samia Ben Massoud, Achouak Barguellil

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International Journal of Accounting and Financial Reporting  ISSN 2162-3082

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