Analysis Of The Dynamic Correlation Between Crude Oil Prices And Stock Markets

With the rapid development of global economy and industrialization process, the energy market and financial market also converge gradually, energy economics has become an important research topic. Modern economic development cannot leave the dependence on oil, which is vividly called "economic blood" by the economists. The stock market has been called the "baronmeter" of the development of economy and played the function of the market economy forecast. The stock price is very important in the economic and financial research. Under the premise that the market is efficient, the impact on the economy of changes in the price of oil can be quickly reflected in the stock market, and affect the stock price. In this paper, we employed the non-parametric time-varying Copula to investigate the dynamic dependence between the crude oil price and stock markets, and found the relationship between oil and stock markets is time-varying. By measuring the tail dependence coefficient, we found that the tail dependence coefficient is increasing, which is indicative of the relationship is continue to rise during the financial crisis.