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

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 b...

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Main Authors: Dhaoui, Abderrazak, Streimikiene, Dalia, Saidi, Youssef, Shahzad, Syed Jawad Hussain, Loganathan, Nanthakumar, Mardani, Abbas
Format: Article
Language:English
Published: Technical University of Kosice 2018
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Online Access:http://eprints.utm.my/id/eprint/84785/1/NanthakumarLoganathan2018_ExploringtheOilSupply-DemandShocks.pdf
http://eprints.utm.my/id/eprint/84785/
https://actamont.tuke.sk/pdf/2018/n1/12dhaoui.pdf
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spelling my.utm.847852020-02-27T04:58:52Z http://eprints.utm.my/id/eprint/84785/ Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries Dhaoui, Abderrazak Streimikiene, Dalia Saidi, Youssef Shahzad, Syed Jawad Hussain Loganathan, Nanthakumar Mardani, Abbas HD28 Management. Industrial Management 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. Technical University of Kosice 2018 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/84785/1/NanthakumarLoganathan2018_ExploringtheOilSupply-DemandShocks.pdf 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 https://actamont.tuke.sk/pdf/2018/n1/12dhaoui.pdf
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic HD28 Management. Industrial Management
spellingShingle HD28 Management. Industrial Management
Dhaoui, Abderrazak
Streimikiene, Dalia
Saidi, Youssef
Shahzad, Syed Jawad Hussain
Loganathan, Nanthakumar
Mardani, Abbas
Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
description 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.
format Article
author Dhaoui, Abderrazak
Streimikiene, Dalia
Saidi, Youssef
Shahzad, Syed Jawad Hussain
Loganathan, Nanthakumar
Mardani, Abbas
author_facet Dhaoui, Abderrazak
Streimikiene, Dalia
Saidi, Youssef
Shahzad, Syed Jawad Hussain
Loganathan, Nanthakumar
Mardani, Abbas
author_sort Dhaoui, Abderrazak
title Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
title_short Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
title_full Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
title_fullStr Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
title_full_unstemmed Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries
title_sort exploring the oil supply-demand shocks and stock market stabilities: experience from oecd countries
publisher Technical University of Kosice
publishDate 2018
url http://eprints.utm.my/id/eprint/84785/1/NanthakumarLoganathan2018_ExploringtheOilSupply-DemandShocks.pdf
http://eprints.utm.my/id/eprint/84785/
https://actamont.tuke.sk/pdf/2018/n1/12dhaoui.pdf
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score 13.159267