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A Study on the Effect of Oil Price Changes on Stock Market Returns in Selected Top Oil-Exporting Countries
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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제17권 제4호 KCI Accredited Journals
Published
2015.1
Pages
1,781 - 1,790 (10page)

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A Study on the Effect of Oil Price Changes on Stock Market Returns in Selected Top Oil-Exporting Countries
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This paper investigates what role oil prices play in stock market returns in oil-exporting countries. Weekly stock prices and oil prices for three selected countries out of top 15 net oil exporters (Mexico, Russia and Canada) from January 2005 to March 2015 are used for analysis. The empirical results indicate that Brent oil prices are positively correlated to all three stock markets with particularly strong association with Russian stock market. Oil price changes have a causal impact on stock market returns in Mexico and Canada and are affected by all three stock market returns. With respect to the influence of oil price changes on returns and conditional variance by GARCH (1,1) estimation, Brent oil prices affect stock market returns in three net oil exporters significantly and stock market returns in Mexico and Canada are negatively affected by their own lagged returns. Volatility in oil market also has a significant impact on variance on each stock markets. Model fit tests confirm that the equations in GARCH (1,1) model are well specified.
#Brent #GARCH model #Granger causality #oil exporters #stock market returns

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References (28)

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Al-Janabi, H. / 2010 / Modeling time-varying volatility and expected returns : evidence from GCC and MENA regions / Emerging Markets Trade and Finance 46 : 39 ~ 47 google schola Arouri, M. E. H. / 2010 / Oil price shocks and stock market returns in oil-exporting countries : The case of GCC countries / International Journal of Economics and Finance 2 google schola Arouri, M. E. H. / 2012 / Oil prices and stock markets in GCC countries : Empirical evidence from panel analysis / International Journal of Finance and Economics 17 (3) : 242 google schola Arouri, M. E. H. / 2012 / On the relationship between world oil prices and GCC stock markets / Journal of Quantitative Economics 10 : 98 ~ 120 google schola Awartani, B. / 2013 / Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries / Energy Economics 36 : 28 ~ 42 google schola

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