TY - JOUR
TI - An analysis of dependence between oil price and stock market with Copula-Garch approach: An empirical analysis from Istanbul stock exchange
AU - Metin Karakaş Ayşe
JN - Thermal Science
PY - 2019
VL - 23
IS - 11
SP - 33
EP - 46
PT - Article
AB - 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.