Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade
Author | Benlagha, Noureddine |
Available date | 2023-01-18T08:39:00Z |
Publication Date | 2020 |
Publication Name | Research in International Business and Finance |
Resource | Scopus |
Abstract | This paper examines the correlation and the dependence patterns of the Qatar stock market with other markets using copula statistical theory and exploiting new datasets covering the period August 1998 to June 2018. To examine the crisis -specific change in the average degree of dependence we decomposed the data into the time periods before and after oil price shocks and the 2017 political crisis among the Gulf Cooperation Council members (i.e. the Qatari blockade). Our findings from the static copula modelling show that the correlations between the Qatari and the other stock markets significantly change after the oil price and the blockade crisis as well. The degree of change in the correlation is time varying and differs from county-group to another. Moreover, our findings reveals that the 2008 global financial crisis has a stronger impact than the price shocks and political crisis. The findings of the paper are of interest and allow for formulating a reliable and dynamic portfolio design framework for investors and risk managers. 2020 Elsevier B.V. |
Sponsor | This work was supported by Research University Grant from Qatar University (Qatar) under the grant number QUUG-CBE-DMM-17/18-5 .We would like to thank the Editor, Editor-in-Chief Professor H. Beladi and the two anonymous referees for their helpful comments. Any remaining errors are solely ours. |
Language | en |
Publisher | Elsevier |
Subject | Copula analysis Financial crisis Geopolitics Market dependence structure Oil prices Qatari blockade Stock markets |
Type | Article |
Volume Number | 54 |
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