Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257002 
Year of Publication: 
2019
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 7 [Issue:] 3 [Article No.:] 70 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of oil-exporting and oil-importing countries. We employed a DCC-FIGARCH model to assess the dynamic relationship between these markets over the period between 2000 and 2018. Our findings report the following regularities: First, the oil-stock markets' relationship and that between oil-importing and oil-exporting countries' stock markets themselves is time-varying. Moreover, we note that the response of stock market returns to oil price changes in oil-importing countries changes is more pronounced than for oil-exporting countries during periods of turmoil. Second, the oil-stock dynamic correlations tend to change as a result of the origin of oil prices shocks stemming from the period of global turmoil or changes in the global business cycle. Third, oil prices significantly drive the relationship between oil-importing and oil-exporting countries' stock markets in both high and low oil-stock correlation regimes.
Subjects: 
oil prices
dynamic conditional correlations
oil-exporting countries
oil-importing countries
stock markets
JEL: 
C32
C51
G15
Q40
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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