Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/58518
Title: Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
Authors: Paravee Maneejuk
Woraphon Yamaka
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Jan-2018
Abstract: © 2018, Springer International Publishing AG. This study aims to examine the relationship between oil prices and stock markets in five ASEAN countries: Thailand, Indonesia, Malaysia, Singapore, and the Philippines. Copula approach is used for modelling dependence structure between variables. In essence, this study considers four classes of copula, namely Archimedean copulas, Elliptical copulas, extreme value copulas, and mixed copulas, to examine the dependency between oil prices and stock market prices. We found that Thai, Malaysian, and Indonesian stock markets are likely to boom when crude oil prices increase while the Singaporean stock market as well as the Philippines’s stock market tend to move in the opposite direction to crude oil prices. However, the results show that these relationships are not strong.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038858065&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58518
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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