The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies
AbstractThis study examines the response of stock markets to oil price volatilities in Japan, Singapore, Korea and Malaysia by applying the generalized impulse response and variance decomposition analyses to the monthly data spanning 1986:01 – 2011:02. The results suggest that the reaction of stock markets to oil price shocks varies significantly across markets. Specifically, the stock market responds positively in Japan while negatively in Malaysia; the signal in Singapore and South Korea is unclear. We find that the stock market inefficiency, among others, appeared to have slowed the responses of the stock market to aggregate shocks such as oil price surges.
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Bibliographic InfoPaper provided by Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre in its series Economic Growth centre Working Paper Series with number 1103.
Length: 36 pages
Date of creation: Mar 2011
Date of revision:
oil price fluctuation; stock return; exchange rate; emerging market; VAR model;
Other versions of this item:
- Le, Thai-Ha & Chang, Youngho, 2011. "The impact of oil price fluctuations on stock markets in developed and emerging economies," MPRA Paper 31753, University Library of Munich, Germany.
- Thai-Ha Le & Youngho Chang, 2011. "The impact of oil price fluctuations on stock markets in developed and emerging economies," Working Papers 23, Development and Policies Research Center (DEPOCEN), Vietnam.
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- F3 - International Economics - - International Finance
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-ENE-2011-11-07 (Energy Economics)
- NEP-SEA-2011-11-07 (South East Asia)
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