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Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach

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  • Maghyereh, A.
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    Abstract

    This study examines the dynamic linkages between crude oil price shocks and stock market returns in 22 emerging economies. The vector autoregression (VAR) analysis is carried on daily data for the period spanned from January 1, 1998 to April 31, 2004. This study utilized the generalized approach to forecast error variance decomposition and impulse response analysis in favor of the more traditional orthogonalized approach. Inconsistent with prior research on developed economies, the findings imply that oil shocks have no significant impact on stock index returns in emerging economies. The results also suggest that stock market returns in these economies do not rationally signal shocks in the crude oil market.

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    File URL: http://www.usc.es/economet/reviews/ijaeqs122.pdf
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    Bibliographic Info

    Article provided by Euro-American Association of Economic Development in its journal International Journal of Applied Econometrics and Quantitative Studies .

    Volume (Year): 1 (2004)
    Issue (Month): 2 ()
    Pages: 27-40

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    Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_8

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    Related research

    Keywords: Oil Prices; Emerging stock markets; VAR model.;

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    Cited by:
    1. Puah, Chin-Hong & Tan, Lay-Phin & Md Isa, Abu Hassan, 2009. "Nexus between Oil Price and Stock Performance of Power Industry in Malaysia," MPRA Paper 31757, University Library of Munich, Germany.
    2. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
    4. Khan, Salman, 2010. "Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case," MPRA Paper 22978, University Library of Munich, Germany.
    5. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
    6. Berk, Istemi & Aydogan, Berna, 2012. "Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions," EWI Working Papers 2012-15, Energiewirtschaftliches Institut an der Universitaet zu Koeln.
    7. Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012. "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, vol. 34(6), pages 1888-1895.
    8. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CARF F-Series CARF-F-157, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Burcu Kiran, 2011. "Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries," Prague Economic Papers, University of Economics, Prague, vol. 2011(2), pages 177-189.
    10. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.
    11. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.

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