International Scientific Journal

Authors of this Paper

External Links


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
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2019, VOLUME 23, ISSUE Supplement 1, PAGES [S33 - S46]
  1. Lardic, S., Mignon, V., The Impact of Oil Prices on GDP in European Countries: An Empirical Investigation Based on Asymmetric Cointegration, Energy Policy, 34 (2006), 18, pp. 3910-3915
  2. Pierce, J. L., et al., The Effects of External Inflationary Shocks, Brookings Papers on Economic Activity, (1974), 1, pp. 13-61
  3. Brown, S. P. A., Yucel, M. K., Energy Prices and Aggregate Economic Activity: An Interpretative Survey, The Quarterly Review of Economics and Finance, 42 (2002), 2, pp. 193-208
  4. Basher, S. A., Sadorsky, P., Oil Price Risk and Emerging Stock Markets, Global Finance Journal, 17 (2006), 2, pp. 224-251
  5. Hamilton, J. D., Oil and the Macroeconomy since World War II, Journal of Political Economy, 91 (1983), 2, pp. 228-248
  6. Cong, R.-G., et al., Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from China, Energy Policy, 36 (2008), 9, pp. 3544-3553
  7. Henriques, I., Sadorsky, P.,. Oil Prices and the Stock Prices of Alternative Energy Companies, Energy Eco-nomics, 30 (2008), 3, pp. 998-1010
  8. Huang, R. D., et al., Energy Shocks and Financial Markets, Journal of Futures Markets, 16 (1996), 1, pp. 1-27
  9. Miller, J. I., Ratti, R. A., Crude Oil and Stock Markets: Stability, Instability, and Bubbles, Energy Econom-ics, 31 (2009), 4, pp. 559-568
  10. Papapetrou, E., Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece, Energy Economics, 23 (2001), 5, pp. 511-532
  11. Park, J., Ratti, R. A., Oil Price Shocks and Stock Markets in the US and 13 European Countries, Energy Economics, 30 (2008), 5, pp. 2587-2608
  12. Sadorsky, P.,. Oil Price Shocks and Stock Market Activity, Energy Economics, 21 (1999), 5, pp. 449-469
  13. Da Silva Filho, O. C., et al., Modeling Dependence Dynamics through Copulas with Regime Switching, Insurance: Mathematics and Economics, 50 (2012), 3, pp. 346-356
  14. Sukcharoen, K., et al., Interdependence of Oil Prices and Stock Market Indices: A Copula Approach. Energy Economics, 44 (2014), July, pp. 331-339
  15. Shi, W., et al., Time-Varying Copula Models In Theshipping Derivatives Market, Empirical Economics, 53(2017), 3, pp. 1039-1058.
  16. Zhu, H.-M., et al., Modelling Dynamic Dependence between Crude Oil Prices and Asia-Pacific Stock Mar-ket Returns, International Review of Economics & Finance, 29 (2014), Jan., pp. 208-223
  17. Lee, K., Ni, S., On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data, Journal of Monetary Economics, 49 (2002), 4, pp. 823-852
  18. El-Sharif, I., et al., Evidence on the Nature and Extent of the Relationship Between Oil Prices and Equity Values in the UK, Energy Economics, 27 (2005), 6, pp. 819-830
  19. Nandha, M., Faff, R., Does Oil Move Equity Prices? A Global View, Energy Economics, 30 (2008), 3, pp. 986-997
  20. Filis, G., Macro economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?, Energy Economics, 32 (2010), 4, pp. 877-886
  21. Narayan, P. K., Narayan, S., Modelling the Impact of Oil Prices on Vietnam’s Stock Prices, Applied Energy, 87 (2010), 1, pp. 356-361
  22. Elyasiani, E., et al., Oil Price Shocks and Industry Stock Returns, Energy Economics, 33 (2011), 5, pp. 966-974
  23. Narayan, P. K., Sharma, S. S., New Evidence on Oil Price and Firm Returns, Journal of Banking & Finance, 35 (2011), 12, pp. 3253-3262
  24. Arouri, M. E. H., Does Crude Oil Move Stock Markets in Europe? A Sector Investigation, Economic Mod-elling, 28 (2011), 4, pp. 1716-1725
  25. Diaz, E. M., et al., Oil Price Volatility and Stock Returns in the G7 Economies, Energy Economics, 54 (2016), Feb., pp. 417-430
  26. Aloui, R., et al., Relationship between Oil, Stock Prices and Exchange Rates: A Vine Copula Based GARCH Method, North American Journal of Economics and Finance, 37 (2016), July, pp. 458-471
  27. Bayram, M., et al., Parameter Estimation in a Black-Scholes Model, Thermal Science, 22 (2018), Suppl. 1, pp. S117-S122
  28. Mensi, W., et al., Analyzing Time-Frequency Co-Movements Across Gold and Oil Prices with BRICS Stock Markets: A VaR Based on Wavelet Approach, International Review of Economics & Finance, 54 (2018), Mar., pp. 74-102
  29. Sklar, M., Fonctions de repartition an dimensions et leurs marges, University of Paris, Paris, 1959, Vol. 8, pp. 229-231
  30. Du, J., Lai, K. K., Modeling Dependence between European Electricity Markets with Constant and Time-varying Copulas, Procedia Computer Science, 122 (2017), pp. 94-101
  31. Patton, A. J., Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47(2006), 2, pp. 527-556
  32. Engle, R. F., Bollerslev, T., Modelling the Persistence of Conditional Variances, Economics Review, 5(1986), 1, pp. 1-50
  33. Bollerslev, T., Generalized Autoregresive Conditional Heeroskedasticity, Journal of Econometrics, 31 (1986), 3, pp. 307-327

© 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