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This study aims to analyze the impact of the crude oil market on the TorontoStock Exchange Index (TSX)c based on monthly data from 1970 to 2021 usingMarkov-switching vector autoregressive (MSI-VAR) model. The results indicatethat TSX return contains two regimes, including: positive return (regime 1),when growth rate of stock index is positive; and negative return (regime 2),when growth rate of stock index is negative. Moreover, regime 1 is morevolatile than regime 2. The findings also show the crude oil market hasnegative effect on the stock market in regime 1, while it has positive effecton the stock market in regime 2. In addition, we can see this effect in regime1 more significantly in comparison to regime 2. Furthermore, two period lag ofoil price decreases stock return in regime 1, while it increases stock returnin regime 2.

Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach