  This study aims to analyze the impact of the crude oil market on the Toronto
Stock Exchange Index (TSX)c based on monthly data from 1970 to 2021 using
Markov-switching vector autoregressive (MSI-VAR) model. The results indicate
that 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 more
volatile than regime 2. The findings also show the crude oil market has
negative effect on the stock market in regime 1, while it has positive effect
on the stock market in regime 2. In addition, we can see this effect in regime
1 more significantly in comparison to regime 2. Furthermore, two period lag of
oil price decreases stock return in regime 1, while it increases stock return
in regime 2.
