On The Effects of Oil Price Fluctuation, Geopolitics, And the Global Financial Crisis On the dependence Structure Between Stock Markets: New Evidence From a Time-varying Copula Model

摘要

This paper examines the impact of economic and geopolitical events on stock market dependence using copula statistical theory. We focus in particular on 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), to examine possible changes in the dependence structure between the Qatari stock market and other stock markets in a group of emerging and advanced countries. Our findings show that the time varying dependence behaviour is associated strongly with the oil price crash and the geopolitical crisis in the region. The findings also show that the 2008 GFC has a stronger impact than the price shocks and political crisis.