The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

Dimitrios Asteriou, Augustinos Dimitras, Andrea Lendewig


The aim of this paper is to study the impact of oil price fluctuations on the stock markets and the interest ratesfrom oil importing and oil exporting countries. To this end, Vector Autoregressive (VAR) models are estimatedand pairwise Granger Causality tests are performed to the stationary series in order to analyse the short-termrelationships among the variables. Also, the Johansen approach for multiple equations is carried out in order totest for cointegration among the series. Finally, the existence of cointegration set the estimation of VectorError-Correction Models (VECMs) to investigate the long-term links between the financial variables and the oilprices. The major findings of this paper include: first, the interaction between the oil prices and the stockmarkets is much stronger than with the interest rates in the short and in the long-run. Second, the impact on oilimporting countries is more significant than on oil exporting countries. Finally, it might be possible that thefluctuations in oil prices have different effects on developed and developing countries.

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