Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303553 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2018163 [Year:] 2022 [Pages:] 1-14
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel granger causality suggested that after oil price crash owing to covid-19 pandemic, the interdependence between oil and stock price changes increased. Similar results were revealed by impulse response graphs and forecast error variance decomposition. Specifically, in the period marked by the rapid outbreak of the covid-19 pandemic, causality from oil to stocks increased. Although we found that both oil exporting and oil importing countries were affected in a similar way, oil price changes had a larger impact on oil exporting countries. The findings of the present study have implications for investors and fund managers. By incorporating crude oil price in the prediction models, the accuracy of stock returns forecast can be improved.
Subjects: 
Covid-19
panel granger causality
oil price
panel vector autoregression
stock returns
JEL: 
G30
G32
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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