Author(s)

Andre Assis de Salles^1*, Maria Eduarda Silva², Paulo Teles²

¹Polytechnic School, Federal University of Rio de Janeiro, Rio de Janeiro, Brazil.
²FEP, School of Economics and Management, University of Porto, Porto, Portugal.

The stock market is a major component of the financial sector of any economy and it is particularly affected by crude oil price. Moreover, the financialization of the oil market in the last three decades increased its association with the financial markets. The main purpose of this paper is to uncover similarities among the economy of selected countries based on the association between their national stock markets and crude oil price. This is achieved by time series clustering of the conditional correlations between the national stock market index returns and crude oil price returns estimated from bivariate GARCH models. The clusters do not lead to a clear classification concerning the countries’ stage of development, emerging and developed, or the geographical region which can be explained by crude oil market financialization.

Crude Oil Prices, Stock Markets, Multivariate GARCH Models, Time Series Clustering

Salles, A. , Silva, M. and Teles, P. (2022) Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market. Open Journal of Business and Management, 10, 155-174. doi: 10.4236/ojbm.2022.101010.