Table 1.
Review of selected studies that have attempted to analyze co-movements between financial markets.
| Authors | Method | Variables | Countries | Main result |
|---|---|---|---|---|
| Aggarwal (1981) | OLS | Stock, exchange rate | USA | Positive relationship |
| Nieh and Lee (2001) | VECM | Stock, exchange rate | G-7 countries | No relationship |
| Kim (2003) | VECM | Stock, exchange rate | USA | Negative relationship |
| Gilmore et al. (2009) | VECM | Gold, stock | USA | Long run relationship |
| Mishra et al. (2010) | VECM | Stock, gold | India | No Relation |
| Zhao (2010) | VAR-GARCH | Stock, exchange rate | China | Not a stable long-term equilibrium relationship |
| Akar (2011) | DCC-GARCH | Stock, gold, exchange rate | Turkey | Negative relationship |
| Hussin et al. (2012). | VAR | Oil price, exchange rate and Islamic stock | Malaysia | Positive relationship between oil price and Islamic stock |
| Samanta and Zadeh (2012) | VARMA | Oil, Gold, the US dollar, and stocks | World | Existence of co-movements |
| Baig et al. (2013) | VECM | Gold, oil, stock | Pakistan | No significant relationship |
| Fallahi et al. (2018) | DCC-GARCH | Stock, Gold, US Dollar | Iran | High correlation between gold and US dollar but low correlation between stock and two others |
| Amiri and Falahi (2015) | DCC-GARCH | Oil, gold, the US dollar | Iran | Time variation correlations for all pairs |
| Arfaoui and Rejeb (2017) | simultaneous equations system | Oil, gold, US dollar and stock market | World | Significant interactions between the all parties |
| Yarovaya and Lau (2016) | AG-DCC- GARCH | Stock market | UK, BRICS and MIST emerging markets | Conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market |
| Chen (2018) | Bayesian dynamic latent factor model | Stock market | developed and emerging markets | Relation between stock markets |
| Bhatiai and Mitra (2018) | GO-GARCH | Oil, stock market | G-7 and Brazil, Russia, India, China and South Africa | Dynamic correlation between crude oil and stock markets |
| El Abed and Zardoub (2019) | A-DCC-GARCHa | Gold, S&P500 index, weighted U.S. dollar index against major currencies | World | Substantial time variation correlations for all pairs |
| Abounoori and Tour (2019) | DCC-GARCH | Stock markets | Iran, USA, Turkey, and UAE | Relationship between stock market of Iran, Turkey, and UAE |
| Ftiti et al. (2016) | Wavelet coherence | Oil, Stock | G7 countries | Interdependence between oil price and the stock market is more pronounced in the short and medium terms |
| Nademi and Khochiany (2017) | Wavelet coherence | Stock, gold, US dollar | Iran | Negative correlation between stock and US dollar but positive correlation between gold, US dollar in short-run |
| Mensi et al. (2018) | Wavelet coherence | Oil, gold, stock | Brazil, Russia, India, China and South Africa | Stock co-move with the oil price but no co-movement between stock and gold |
| Huang et al. (2018) | Wavelet coherence | Oil, stock | China | The coherence of oil-stock nexuses is tremendously different in short time scale |
| Gourène and Mendy (2018) | Wavelet coherence | Oil, stock | South Africa, Egypt, Morocco, Nigeria, Kenya | Low co-movement |
| Khochiany (2018) | Wavelet coherence | Stock, US dollar | Iran | Negative correlation in long run |
| Pal and Mitra (2019) | Wavelet coherence | Oil, automobile stock | World | Co-movement between oil price and automobile stock |
| Amalia and Purqon (2019) | Wavelet coherence | Oil, stock | Indonesia | High co-movement between oil prices and stock of Adaro Energy Tbk |
a
Asymmetric DCC-GARCH.
Source: Our own elaboration.