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The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model

Author

Listed:
  • Afees A. Salisu

    (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria; Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Riza Demirer

    (Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA)

Abstract

We contribute to the literature on the propagation of oil price uncertainty shocks on to real equity prices of 26 advanced and emerging countries using a Global Vector Autoregressive (GVAR) model, over the quarterly period of 1979:2 to 2019:4. Using a newly developed model-free robust estimate of oil price uncertainty, our findings reveal a statistically significant negative effect on 23 of the 26 stock markets considered, with stronger adverse responses observed for net oil-exporting and emerging economies. Our results have important implications for investors and policymakers.

Suggested Citation

  • Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model," Working Papers 202160, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202160
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Oil Price Uncertainty Shocks; International Equity Markets; Global Vector Autoregressive Model;
    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

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