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Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries

Dhaoui, Abderrazak and Streimikiene, Dalia and Saidi, Youssef and Shahzad, Syed Jawad Hussain and Loganathan, Nanthakumar and Mardani, Abbas (2018) Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries. Acta Montanistica Slovaca, 23 (1). pp. 100-117. ISSN 1335-1788

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Official URL: https://actamont.tuke.sk/pdf/2018/n1/12dhaoui.pdf

Abstract

This paper explores the interactive relationships between oil price shocks and the stockmarket in 11 OECD countries using traditional cointegrationtest and look at the rolling window Granger causality effects with various predictive power contents running between the variables. Taking into account both world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of the sensitivity of stock market returns to the oil priceshock specifications is found in several sub-periods. As for rolling window causality tests, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ among the various oil shock specifications.The overall finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. Indeed, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD countries and positively impactedby the oil exporting OECD countries. Furthermore, these results will give a dimension for future undertaking studies with varying empirical findings.

Item Type:Article
Uncontrolled Keywords:Rolling window, Stock market returns
Subjects:H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:Management
ID Code:84785
Deposited By: Widya Wahid
Deposited On:27 Feb 2020 12:58
Last Modified:27 Feb 2020 12:58

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