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Oil Price Shocks And Financial Stock Markets

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Author Info

  • Achraf GHORBEL

    ()
    (University of Sfax, Faculty of Business and Economics, Tunisia)

  • Mouna BOUJELBENE ABBES

    ()
    (University of Sfax, Faculty of Business and Economics, Tunisia)

  • Younes BOUJELBENE

    ()

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    Abstract

    This 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 Info

    Article provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.

    Volume (Year): III (2011)
    Issue (Month): 2 (December)
    Pages: 204-229

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    Handle: RePEc:srs:jarf12:6:v:3:y:2011:i:2:p:204-229

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    Web page: http://www.cesmaa.eu/journals/jarf/index.php

    Related research

    Keywords: stock returns; oil price shock; volatility; vector autoregression (VAR) model;

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