What determines the dependence between stock markets - crisis or financial and economic fundamentals?

Abstract

This paper investigates the economic and financial fundamentals that determine the dynamic linkage between Qatar and a set of selected international stock markets. To this end, we used different dynamic copula constructions to extract the series of time-varying degrees of dependence. Then, by estimating a quantile regression, we identified several economic and financial variables that significantly contribute to explaining the dynamic patterns of dependence among the studied stock markets. These include the returns of the Qatar stock market, crude oil prices, gold prices, the volatility of the S&P 500 index, and the world economic policy uncertainty index. The results obtained show that the fluctuations in these variables significantly influence the structure of dependence between the studied stock markets. 2021 Informa UK Limited, trading as Taylor & Francis Group.