Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148014
Authors: 
Zhu, Huiming
Huang, Hui
Peng, Cheng
Yang, Yan
Year of Publication: 
2016
Series/Report no.: 
Economics Discussion Papers 2016-46
Abstract: 
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and structure of the dependence, and furthermore, the results present an asymmetric and heterogeneous dependence. Moreover, the dependence increases dramatically after a structural break point, meaning a crisis. Additionally, the authors observe a more significant dependence at the lower tails than the upper tails. They demonstrate the positive relationship at low quantiles, which is evidence of positive dependence in recessions or bearish markets.
Subjects: 
Extreme dependence
Crude oil
Asia-Pacific stock market
Quantile regression
Structural breaks
JEL: 
E44
Q43
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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