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Does crude oil move stock markets in Europe? A sector investigation

  • Arouri, Mohamed El Hedi

The aim of this article is to investigate the responses of European sector stock markets to oil price changes. We use linear and asymmetric models and study the association of oil and stock prices. Our findings suggest that the strength of this association varies greatly across sectors. Moreover, for some sectors we find strong evidence of asymmetry in the reaction of stock returns to changes in the price of oil.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 4 (July)
Pages: 1716-1725

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:4:p:1716-1725
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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