Quotation Antonakakis, Nikolaos, Filis, George. 2013. OIL PRICES AND STOCK MARKET CORRELATION: A TIME-VARYING APPROACH. International Journal of Energy and Statistics 1 (1): 17-29.


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Abstract

This paper examines the influence oil prices on stock market time-varying correlation. We consider five stock market indices from both oil-importing (US, UK and Germany) and oil-exporting economies (Canada and Norway) for the period 1988-2011. The findings from the DCC-GARCH framework suggest that the effects of oil price changes on stock market correlation are not constant over time and they depend on the status of the economy, i.e. whether it is oil-importing or oil-exporting. In addition, utilising the identification of oil price shocks by Kilian (2009) and Hamilton (2009a; 2009b) we find that the aggregate demand shocks and precautionary demand shocks tend to exercise a negative effect on stock market correlation, whereas no effects from the supply-side oil price shocks can be reported. These findings have important implications for international portfolio diversification and risk management.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Energy and Statistics
Language English
Title OIL PRICES AND STOCK MARKET CORRELATION: A TIME-VARYING APPROACH
Volume 1
Number 1
Year 2013
Page from 17
Page to 29
Reviewed? Y
URL http://www.worldscientific.com/doi/pdf/10.1142/S2335680413500026

Associations

People
Antonakakis, Nikolaos (Former researcher)
External
Filis, George (University of Portsmouth, United Kingdom)
Organization
Institute for International Economics IN (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5311 Public finance (Details)
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