Dynamic correlation analysis between oil prices and stock markets during the US financial crisis : oil shock or financial shock? = 미국 금융위기 기간 내 석유와 석유 수입국들간의 상관관계 분석에 관한 연구oil shock or financial shock?
This paper investigates the time-varying correlation between oil price and stock prices in two groups of oil-importing countries’ stock markets during the US Financial Crisis: OECD (developed countries) and non-OECD (emerging countries). This study recognized the correlation between developed countries’ stock markets and oil price that sharply increased during the financial crisis in 2008. It also found out the exogenous variables that influence the correlations between oil and stock markets. It was shown that only VIX had positively significant impact on OECD group while CDS and TED had positive influence on non-OECD group. Finally, during the financial crisis, oil and stock market had a common financial shock while 2014 Oil Crash was just a commodity shock.