How Oil Price Volatility on Stock Market Fluctuation Move Together : Economic Transition from Quantile Regression Approach

This research paper evaluates the impacts of crude oil prices volatility on shares marketplaces. We bear in mind the returns of five leading crude importation economies; China, Japan, the USA, France, and Germany , and between 2000- 2020 by applying a quantile-on-Quantile regression(Q-Q), including dynamic copula with Markov-Switching. The results depict that because the effect of the OVX changes crosswise every single quantile level of stock return, it is cumbersome to ascertain the changes within the adverse impacts under varied stock market circumstances. Equally, to derive a comprehensive understanding of the correlation between crude costs volatility and stock returns, we utilize twofold quantile regression and quantile-quantile regression methods. We can interpret these different features' impacts by applying the quantile regression approximates. Our experiential findings show that crude costs uncertainty has lop-sided impacts on stock returns; more so, these disproportionate performances alternate based not merely on the level of shares returns nonetheless equally crude market circumstances. More so, greater values match a robust risk decrease. Further, we observe heterogenous hedging effectiveness among the varied United States stock sectors. The findings demonstrate that growing crude prices volatility obtains an adverse impact on stock returns when the dual crude costs volatility and stock returns are minimal. Nevertheless, when shares returns are greater plus crude prices, volatility is minimal; growing crude volatility increases stock returns