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OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY
Date
2019-01-01
Author
Ordu Akkaya, Beyza Mina
Sarı, Ramazan
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While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this limitation using a structural VAR analysis. Our main findings can be summarized as follows: First, the magnitude, duration, and even direction of response by stock market in a country to oil price shocks highly depend on whether the country is a net importer or exporter in the world oil market, and whether changes in oil price are driven by supply or aggregate demand. Second, the relative contribution of each type of oil price shocks depends on the level of importance of oil to national economy, as well as the net position in oil market and the driving forces of oil price changes. Third, the effects of aggregate demand uncertainty on stock markets in oil-exporting countries are much stronger and more persistent than in oil-importing countries. Finally, positive aggregate and precautionary demand shocks are shown to result in a higher degree of co-movement among the stock markets in oil-exporting countries, but not among those in oil-importing countries.
URI
https://hdl.handle.net/11511/82621
Journal
DUMLUPINAR ÜNİVERSİTESİ SOSYAL BİLİMLER DERGİSİ DUMLUPINAR UNIVERS ITY JOURNAL OF SOCIAL SCIENCES
Collections
Department of Business Administration, Article