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This paper examines the dependence structure between National 100, National 50 and National 30 Indices of Istanbul Stock Exchange (ISE) and international Brent oil price by using Copula-Garch method. Linear correlation has a serious deficiency; whereas copula method is not invariant under non-linear strictly increasing transformation. Meanwhile the dependence measures derived from copulas can overcome this shortcoming and have broader applications. Furthermore, copulas can be used to describe more complex multivariate dependence structures, such as non-linear and tail dependence. In this study, we covered the period from 14.03.2001 to 23.03.2018 by using daily prices. Our findings suggest that there is a weak dependence structure between Istanbul Stock Exchange (ISE) and Brent oil prices which may have significant implications for policymakers, investors and risk managers in terms of the relationship between oil prices and the stock market.
PAPER REVISED: 2018-10-01
PAPER ACCEPTED: 2018-10-31
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THERMAL SCIENCE YEAR 2019, VOLUME 23, ISSUE Supplement 1, PAGES [S33 - S46]
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