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The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies

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Author Info

  • Thai-Ha LE

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

  • Youngho CHANG

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

Abstract

This 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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File URL: http://www3.ntu.edu.sg/hss2/egc/wp/2011/2011-03.pdf
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Bibliographic Info

Paper 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.

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Length: 36 pages
Date of creation: Mar 2011
Date of revision:
Handle: RePEc:nan:wpaper:1103

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Postal: Nanyang Avenue, Singapore 639798.
Fax: 6794 2830
Web page: http://egc.hss.ntu.edu.sg/
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Keywords: oil price fluctuation; stock return; exchange rate; emerging market; VAR model;

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Cited by:
  1. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
  2. ALAM Nafis & TAN Ee Chain, 2012. "Impact Of Financial Crisis On Stock Returns: Evidence From Singapore," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(2), pages 5-19, August.
  3. Malik, Zahra & Zaman, Khalid, 2013. "Macroeconomic consequences of terrorism in Pakistan," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1103-1123.

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