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Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries

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  • Anna Créti

    (Department of Economics, Ecole Polytechnique - CNRS : UMR7176 - Polytechnique - X, EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense)

  • Zied Ftiti

    (IPAG - Business School, University of Tunis - High Institute of Management)

  • Khaleb Guesmi

    (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense, IPAG - Business School)

Abstract

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries (US, Italy, Germany, Netherland and France) and exporter ones (Emirate Arab Units, Kuwait Saudi Arabia and Venezuela). The dataset consists of monthly data from 03/09/2000 to 03/12/2010. We propose a new empirical methodology setting a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), and developed by Ftiti (2010) that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and long-run dependence. We find that interdependence between oil price and stock markets is higher in the exporters countries than in the importers one.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00822070.

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Date of creation: 14 May 2013
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Handle: RePEc:hal:wpaper:hal-00822070

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Keywords: oil prices; stock markets; evolutionary co-spectraL analysis;

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Cited by:
  1. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion- Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers, Department of Research, Ipag Business School 2014-062, Department of Research, Ipag Business School.

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