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Oil Shocks and Stock Market Performance: Evidence from the Eurozone and the USA

In: The Economics of Digital Transformation

Author

Listed:
  • João Leitão

    (University of Beira Interior
    University of Beira Interior
    University of Lisbon
    University of Lisbon)

  • Joaquim Ferreira

    (University of Beira Interior)

Abstract

Recent oil price developments contribute to renewed interest in the subject of oil shocks regarding international stock market performance. In this connection, this study uses a structural VAR (SVAR) model to evaluate the impact of BRENT and WTI crude oil price effects on the Dow Jones, DAX, CAC, ATHENS Composite, and PSI20 performance. The dynamic analysis gives support to the nonsignificant effects of oil prices on the US and Eurozone markets. Nevertheless, in the context of stock markets, the findings suggest that Dow Jones becomes the prevailing market-driver of Eurozone market performance. Furthermore, there is only a unidirectional, significant relationship in Eurozone stock markets, from the CAC to the PSI20. The outstanding role of the US stock market reflects the fact of this being the world’s largest economy in addition to being closely linked to other economies worldwide. The impact of the French stock market on the Portuguese stock market is justified by the integration of both stock markets in the Euronext Stock Exchange.

Suggested Citation

  • João Leitão & Joaquim Ferreira, 2021. "Oil Shocks and Stock Market Performance: Evidence from the Eurozone and the USA," Studies on Entrepreneurship, Structural Change and Industrial Dynamics, in: Tessaleno Devezas & João Leitão & Askar Sarygulov (ed.), The Economics of Digital Transformation, edition 1, pages 105-122, Springer.
    • Handle: RePEc:spr:seschp:978-3-030-59959-1_7
    DOI: 10.1007/978-3-030-59959-1_7
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    More about this item

    Keywords

    Oil shocks; Stock markets; SVAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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