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AN ANALYSIS OF DEPENDENCE BETWEEN OIL PRICE AND STOCK MARKET WITH COPULA-GARCH APPROACH: AN EMPIRICAL ANALYSIS FROM ISTANBUL STOCK EXCHANGE

ABSTRACT
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.
KEYWORDS
PAPER SUBMITTED: 2018-09-17
PAPER REVISED: 2018-10-01
PAPER ACCEPTED: 2018-10-31
PUBLISHED ONLINE: 2018-12-16
DOI REFERENCE: https://doi.org/10.2298/TSCI180917328M
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2019, VOLUME 23, ISSUE Supplement 1, PAGES [S33 - S46]
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© 2019 Society of Thermal Engineers of Serbia. Published by the Vinča Institute of Nuclear Sciences, Belgrade, Serbia. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International licence