The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula

Abstract This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expe...

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Autor principal:	Melike Bildirici
Formato:	article
Lenguaje:	EN
Publicado:	KeAi Communications Co., Ltd. 2018
Materias:	Oil price Expectations of investors Stock returns Chaos Lyapunov exponent Kolmogorov entropy Science Q Petrology QE420-499
Acceso en línea:	https://doaj.org/article/27ad83e7654d4e3c832d7b723008f684
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spelling	oai:doaj.org-article:27ad83e7654d4e3c832d7b723008f6842021-12-02T05:08:18ZThe chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula10.1007/s12182-018-0281-71672-51071995-8226https://doaj.org/article/27ad83e7654d4e3c832d7b723008f6842018-11-01T00:00:00Zhttp://link.springer.com/article/10.1007/s12182-018-0281-7https://doaj.org/toc/1672-5107https://doaj.org/toc/1995-8226Abstract This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June 06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and co-movement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.Melike BildiriciKeAi Communications Co., Ltd.articleOil priceExpectations of investorsStock returnsChaosLyapunov exponentKolmogorov entropyScienceQPetrologyQE420-499ENPetroleum Science, Vol 16, Iss 1, Pp 217-228 (2018)
institution	DOAJ
collection	DOAJ
language	EN
topic	Oil price Expectations of investors Stock returns Chaos Lyapunov exponent Kolmogorov entropy Science Q Petrology QE420-499
spellingShingle	Oil price Expectations of investors Stock returns Chaos Lyapunov exponent Kolmogorov entropy Science Q Petrology QE420-499 Melike Bildirici The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
description	Abstract This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June 06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and co-movement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.
format	article
author	Melike Bildirici
author_facet	Melike Bildirici
author_sort	Melike Bildirici
title	The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
title_short	The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
title_full	The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
title_fullStr	The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
title_full_unstemmed	The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
title_sort	chaotic behavior among the oil prices, expectation of investors and stock returns: tar-tr-garch copula and tar-tr-tgarch copula
publisher	KeAi Communications Co., Ltd.
publishDate	2018
url	https://doaj.org/article/27ad83e7654d4e3c832d7b723008f684
work_keys_str_mv	AT melikebildirici thechaoticbehavioramongtheoilpricesexpectationofinvestorsandstockreturnstartrgarchcopulaandtartrtgarchcopula AT melikebildirici chaoticbehavioramongtheoilpricesexpectationofinvestorsandstockreturnstartrgarchcopulaandtartrtgarchcopula
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The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula

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