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The Oil Price Effects in the Greek Stock Market

Author

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  • Andreas-Ektor Lake
  • Constantinos Katrakilides

Abstract

This paper investigates the effects between the Greek stock market returns and the oil price during a period in which the oil prices have been increasing. We employ a VAR model in conjunction with Granger-causality tests and we investigate the interactions among the stock market returns, the volatility of the stock market price index, the oil returns and the volatility of oil prices. The empirical evidence supports the existence of significant causal effects running from oil price returns and volatility of oil prices towards the stock market.

Suggested Citation

  • Andreas-Ektor Lake & Constantinos Katrakilides, 2013. "The Oil Price Effects in the Greek Stock Market," International Journal of Maritime, Trade & Economic Issues (IJMTEI), International Journal of Maritime, Trade & Economic Issues (IJMTEI), vol. 0(1), pages 49-58.
    • Handle: RePEc:ers:ijmtei:v:i:y:2013:i:1:p:49-58
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Stock market; oil price effects;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure

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