Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66595
Authors: 
Anoruo, Emmanuel
Year of Publication: 
2011
Citation: 
[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 4 [Year:] 2011 [Issue:] 3 [Pages:] 75-92
Abstract: 
This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market returns. The linear and nonlinear causality tests were conducted through the standard VAR and the M-G frameworks, respectively. The results from both the linear and nonlinear unit root tests indicate that crude oil price changes and stock market returns are level stationary. The results from the standard VAR model provide evidence of bidirectional causality between crude oil price changes and stock market returns. The results from the M-G causality test support the finding of nonlinear bidirectional causality between crude oil price changes and stock market returns.
Subjects: 
crude oil prices
nonlinear causality
stock market returns
BDS
structural breaks
JEL: 
G10
G12
Q43
Document Type: 
Article

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