OIL PRICE SHOCKS AND EMERGING STOCK MARKETS: A GENERALIZED VAR APPROACH

Maghyereh · Aktham

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

Abstract

This study examines the dynamic linkages between crude oil price shocks and stock market returns in 22 emerging economies. The vector autoregression (VAR) analysis is carried on daily data for the period spanned from January 1, 1998 to April 31, 2004. This study utilized the generalized approach to forecast error variance decomposition and impulse response analysis in favor of the more traditional orthogonalized approach. Inconsistent with prior research on developed economies, the findings imply that oil shocks have no significant impact on stock index returns in emerging economies. The results also suggest that stock market returns in these economies do not rationally signal shocks in the crude oil market.

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References

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2013Does the source of oil price shocks matter for South African stock returns? A structural VAR approach 2014The relationship between energy and equity markets: Evidence from volatility impulse response functions 2013Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries 2015Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries 2012Natural gas prices and stock prices: Evidence from EU-15 countries

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