Examining the dynamic conditional correlation between oil prices and stock prices: Implications for global financial markets and the impact of COVID-19

Abstract

The dynamic structure of the global economy is one of many factors that affect the fluctuations in the global financial markets. COVID-19, like all other epidemics, has been an important period in human history. Exporting and importing oil are also important distinctions in economies. This study aims to investigate the dynamic relationship between stock market closing prices and Brent oil prices of six major oil-importing and oil-exporting economies during the COVID-19 period. These stock markets have a significant impact on the world economy and serve as reference points for evaluating industry performance. The Dynamic Conditional Correlation (DCC) method are used to model the complex interactions of the energy market and markets. It aims to reveal the relationship between fluctuations in energy prices and other macroeconomic indicators. According to the findings, it is concluded that fluctuations in oil prices have a non-negligible impact on stock markets due to the persistence of ARCH effects and volatility in each financial market. Assuming that volatility continues, it is seen that volatility continues to have an impact on the markets examined.