Oil price plays a significant role across economies around the globe. As such, there has been an increasing and continued interest for investigating associations between stock market and oil prices over the recent decades. This paper briefly reviews the well established association measures to date and evaluates their performance via an application to stock market and oil price data. 10 oil-importing and 9 oil-exporting countries are included with corresponding stock indices for comparisons. The results provide valuable information relating to the possible existence of linear or nonlinear associations and its corresponding effects on the estimates. Initially, an attempt is made to compare association measures based on the the specific subject of stock market and oil prices relationship. This provides a broad and comprehensive view of the potential associations among all groups of variables whilst taking into account the country and time range differences. The findings provide significant contributions towards helping with the selection of the most suitable model for relationship investigation, and data prediction on stock market and oil prices.
