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首页> 外文期刊>International journal of finance & economics >Tail dependence between oil prices and China's A-shares: Evidence from firm-level data
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Tail dependence between oil prices and China's A-shares: Evidence from firm-level data

机译：油价与中国A股之间的尾巴依赖：来自公司级别数据的证据

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摘要

Research in the area of tail dependence between oil prices and the stock market is sparse, particularly at the firm level. This article investigates lower and upper tail dependences between the price of crude oil and China's A-share market by estimating an empirical copula with a rolling window. Our results show that tail dependence is increasing over time and that there are differences between lower and upper tail dependences in terms of incremental magnitude. We also find that the impulse responses of tail dependences to shocks to variables of interests vary significantly over the sample period. Our results also indicate that lower tail dependence, in particular, is found to have more than one breakpoint, and the break dates are highly associated with financial crises. In addition, we find evidence of asymmetry in tail dependence, which varies across periods. Finally, we find that tail dependence is persistent in the short-term but deteriorates as the duration increases. These findings have important implications for investors, risk managers and policy makers.
机译：石油价格与股市之间的尾部依赖的研究稀疏，特别是在坚定的水平。本文通过估算具有滚动窗口的实证副本，调查原油和中国的A股市场价格之间的下尾依赖性。我们的结果表明，尾依赖性随着时间的推移而增加，并且在增量幅度方面下降和上部尾部之间存在差异。我们还发现，在样品期间，尾部依赖的脉冲响应对兴趣变量的冲击显着变化。我们的结果还表明，特别是尾部依赖性，特别是具有多个断点，并且休息日期与金融危机高度相关。此外，我们发现尾部依赖性的不对称证据，这些证据越差。最后，我们发现尾部依赖性在短期内持续，但随着持续时间的增加而恶化。这些调查结果对投资者，风险管理人员和政策制定者具有重要意义。

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