SAR-CoV-2 Salgınının Petrol Fiyatlarına ve BRICS Hisse Senedi Piyasalarına Etkisi: Dinamik Koşullu Kopula Yaklaşımı
Abstract
Bu çalışma, Petrol Fiyatları ile Brics Hisse Senedi Piyasaları arasındaki SAR-CoV-2 salgını öncesi ve sonrası bağımlılık modelinin bir örneğini oluşturmaktadır. Mevcut çalışmanın amacı, CD-vine kopula tekniğini kullanarak BRICS Hisse Senedi Piyasaları ve Petrol Fiyatlarından (Opec Petrol ve Brent Petrol) elde edilen verilerin koşullu bağımlılıklarının dinamik yapısını göstermektir. Koşullu bağımlılık olarak da bilinen CD-vine yaklaşımı, karmaşık bağımlılık yapısını elde etmeyi kolaylaştırmaktadır. Bu bağımlılık yapısı bu nedenle grafiklerde ve tablolarda gösterilmektedir.
Keywords
Supporting Institution
Bitlis Eren Üniversitesi Bilimsel Araştırma Projeleri Koordinatörlüğü
Project Number
BEBAP 2021.16
Thanks
Bitlis Eren Üniversitesine katkılarından dolayı teşekkür ederiz.
References
- Aloui R., Aïssa MSB. Relationship between oil, stock prices, and exchange rates: A vine copula based GARCH method. The North American Journal of Economics and Finance 2016; 37: 458-471.
- Chaiboonsri C., Singvejsakul J. The dynamics co-movement toward and the pattern of relation among stock market in world exchanges during the period 2000~2016: CD vine Copula Approach. International Journal of Intelligent Technologies and Applied Statistics 2017; 10: 115-128.
- Chokethaworn K., Chaitip P., Sriwichailamphan T., Chaiboonsri C. The dependence structure and co-movement toward between Thai's currency and Malaysian's currency: Markov Switching Model in Dynamic Copula Approach (MSDC). Procedia Economics and Finance 2013; 5: 152-161.
- Dißmann J., Brechmann EC., Czado C., Kurowicka D. Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 2013; 59: 52-69.
- Gong XL., Liu XH., Xiong X. Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures. Pacific-Basin Finance Journal 2019; 55: 95-109. Haibin, N. BRICS in global governance: A progressive force?. Friedrich-Ebert-Stiftung, Global Policy and Development 2012.
- Hikmah IR., Saefuddin A., Mangku IW. Identification of dependent structure and prediction of composite stock price index with CD vine copula approach. International Journal of Scientific & Engineering Research 2017; 8: 249-252.
- Kurowicka D., Cooke R. Uncertainty analysis with high dimensional dependence modelling. John Wiley and Sons; 2006.
The Impact of the SAR-CoV-2 Epidemic on Oil Prices and BRICS Stock Markets: Dynamic Conditional Copula Approach
Abstract
This study serves as an example of the before and after-SAR-CoV-2 epidemic dependence pattern between Oil Prices and the Brics Stock Markets. The current study's goal was to illustrate the dynamic structure of the conditional dependencies of the data from the BRICS Stock Markets and Oil Prices (Opec Oil and Brent Oil) using the CD-vine copula technique. The CD-vine approach, also known as conditional dependence, makes it simple to get the intricate dependency structure. This dependency structure is therefore displayed in graphics and tables.
Project Number
BEBAP 2021.16
References
- Aloui R., Aïssa MSB. Relationship between oil, stock prices, and exchange rates: A vine copula based GARCH method. The North American Journal of Economics and Finance 2016; 37: 458-471.
- Chaiboonsri C., Singvejsakul J. The dynamics co-movement toward and the pattern of relation among stock market in world exchanges during the period 2000~2016: CD vine Copula Approach. International Journal of Intelligent Technologies and Applied Statistics 2017; 10: 115-128.
- Chokethaworn K., Chaitip P., Sriwichailamphan T., Chaiboonsri C. The dependence structure and co-movement toward between Thai's currency and Malaysian's currency: Markov Switching Model in Dynamic Copula Approach (MSDC). Procedia Economics and Finance 2013; 5: 152-161.
- Dißmann J., Brechmann EC., Czado C., Kurowicka D. Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 2013; 59: 52-69.
- Gong XL., Liu XH., Xiong X. Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures. Pacific-Basin Finance Journal 2019; 55: 95-109. Haibin, N. BRICS in global governance: A progressive force?. Friedrich-Ebert-Stiftung, Global Policy and Development 2012.
- Hikmah IR., Saefuddin A., Mangku IW. Identification of dependent structure and prediction of composite stock price index with CD vine copula approach. International Journal of Scientific & Engineering Research 2017; 8: 249-252.
- Kurowicka D., Cooke R. Uncertainty analysis with high dimensional dependence modelling. John Wiley and Sons; 2006.
Details
| Primary Language | English |
|---|---|
| Journal Section | RESEARCH ARTICLES |
| Authors | |
| Project Number | BEBAP 2021.16 |
| Publication Date | January 22, 2024 |
| Submission Date | April 4, 2023 |
| Acceptance Date | August 4, 2023 |
| Published in Issue | Year 2024 Volume: 7 Issue: 1 |
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