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

Author

Listed:
  • Anna Creti

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Zied Ftiti
  • Khaled Guesmi

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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Suggested Citation

  • Anna Creti & Zied Ftiti & Khaled Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Post-Print hal-01410673, HAL.
    • Handle: RePEc:hal:journl:hal-01410673
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    Cited by:

    1. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
    2. Madaleno, Mara & Pinho, Carlos, 2014. "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, vol. 45(C), pages 120-133.
    3. Bouoiyour, jamal & Selmi, Refk, 2014. "Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis," MPRA Paper 59368, University Library of Munich, Germany.
    4. Zeravan Abdulmuhsen Asaad, 2021. "Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During COVID19 Outbreak: An ARDL Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 562-571.
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    6. Mishra, Shekhar & Mishra, Sibanjan, 2021. "Are Indian sectoral indices oil shock prone? An empirical evaluation," Resources Policy, Elsevier, vol. 70(C).

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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