Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94193
Authors: 
Dhaoui, Abderrazak
Khraief, Naceur
Year of Publication: 
2014
Series/Report no.: 
Economics Discussion Papers 2014-12
Abstract: 
This paper examines empirically whether oil price shocks impact stock market returns. Using monthly data for eight developed countries from January 1991 to September 2013, strong negative connections between oil price and stock market returns are found in seven of the selected countries. Oil price changes are without significant effect on the stock market of Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect on the others.
Subjects: 
oil price shocks
stock market return
EGARCH
JEL: 
G12
Q43
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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