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Yuting Gong, Ruijun Bu, Qiang Chen, What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach, Journal of Financial Econometrics, Volume 20, Issue 2, Spring 2022, Pages 253–277, https://doi.org/10.1093/jjfinec/nbz043
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Abstract
The relationship between oil prices and stocks is an important issue for portfolio selection and risk management. This article proposes a mixed frequency data sampling copula model with explanatory variables that incorporates low-frequency explanatory variables into a high-frequency dynamic copula model. It enables us to investigate the impacts of economic factors on the relationship between oil and stocks. It is found that the dependence of oil and stock markets is influenced by aggregate demand and stock-specific negative news. The impact of aggregate demand lasts for two years, while the impact of stock-specific news lasts for one quarter.