Extreme Dependence And Impulse Response Between Crude Oil Price Changes And The Volatility Of Stock Markets In The Asia-pacific Region

As non-renewable energy,petroleum plays an important role in the development of economy and stock market,and the stock market has been regarded as a barometer of economic development.The dependence between oil prices and stock returns has attracted the attention of many researchers recently.Many scholars have studied the relationship between stock market returns and national crude oil prices in some developed countries in the United States and Europe.However,research on developing countries is relatively scarce,especially in the Asia-pacific region.The oil consumption in the Asia-pacific region is increasing year by year.And the Asia-pacific region is very dependent on oil which is non-renewable.Therefore,it is significant for policy makers,investors and risk managers to explore the long-term relationship and the short-term impact effect between the Asia-pacific stock market and crude oil price.The study selects daily data of stock index in Asia-pacific and crude oil price from January 4,2000 to February 26,2018,constructs the extreme quantile regression model combined with structural breaks and estimates the model parameters according to the estimation results of the long-term extreme dependence relationship between stock returns in Asia-pacific and oil prices at different quantiles.At the same time,this paper constructs a quantile response model to explore the short-term dynamic effects of oil price fluctuations on the Asia-pacific stock market on different points.The results show that there is a difference between the long-term relationship and the short-term impact effect between the Asia-pacific stock market and oil price.In the long run,the extreme dependence between oil prices and the Asia-pacific stock returns has increased significantly after a break and is significantly positive.In the short term,fluctuation of oil price has a negative impact on the stock market in Australia,Hong Kong,India and Japan at the 0.05 point,has a positive impact on the stock market in Hong Kong,Japan,South Korea,Taiwan and Philippines at the 0.5 point,and has a positive impact on the stock market in Australia,Indonesia,Japan,Korea,Malaysia,Philippines and Taiwan at the 0.95 point.Therefore,investors are advised to regard oil price as an important signal for stock market investment in the Asia-pacific region.