Oil Price Shocks And Financial Stock Markets
AbstractThis article explores the relation between oil market and the financial stocks market. Particularly, this article examines the impact of oil price shocks on stock markets returns and volatilities for large set of oil importing and exporting countries over 1997:1–2009:08 period. Using VAR approach, we estimate the dynamic relations between oil price shocks, stock markets and other variables, including short-term interest rates, exchange rates, and industrial production. Orthogonalized impulse response function shows that oil exporting countries (Russia, Norway, Canada, Malaysia, Venezuela and Argentina) have a significant positive response of stock market returns to oil price shocks. Although, oil importing countries (UK, France, Italy, Portugal, Sweden, Switzerland and Japan) have a statistically significant negative response of stock returns to an oil price increase. Empirical results from the impact of oil price volatility on stock markets volatilities show that oil price volatility has a significant positive impact for all oil exporting and importing countries expect for Brazil and Korea.
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Bibliographic InfoArticle provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.
Volume (Year): III (2011)
Issue (Month): 2 (December)
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Web page: http://www.cesmaa.eu/journals/jarf/index.php
stock returns; oil price shock; volatility; vector autoregression (VAR) model;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
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