A Model of the Oil Prices´ Return Rate Threshold for the Two Stock Market Returns: An Evidence Study of the U.S. and Canada´s Stock Markets

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the U.S. and the Canada´s stock markets. The empirical result also indicates that the U.S. and the Canada´s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.686, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the U.S. and the Canada´s stock markets have an asymmetrical effect, and the variation risks of the U.S. and the Canada´s stock market returns also receives the influence of the positive and negative of the oil prices´ volatility rate.