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

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Listed author(s):
  • Anna Créti

    (Department of Economics, Ecole Polytechnique - Polytechnique - X - CNRS - Centre National de la Recherche Scientifique, EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Zied Ftiti

    (IPAG - Business School, University of Tunis - High Institute of Management)

  • Khaleb Guesmi

    (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, IPAG - Business School)

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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Paper provided by HAL in its series Working Papers with number hal-00822070.

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Date of creation: 14 May 2013
Handle: RePEc:hal:wpaper:hal-00822070
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Keywords: oil prices; stock markets; evolutionary co-spectraL analysis;

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Find related papers by 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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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. repec:ipg:wpaper:2014-062 is not listed on IDEAS

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