A Study on the Effect of Oil Price Changes on Stock Market Returns in Selected Top Oil-Exporting Countries

• 발행기관: 한국자료분석학회
• 저자명: 김용민(Yong-Min Kim) 윤일현(Il-Hyun Yoon)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.4, 1781~1790쪽, 전체 10쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.08.30

영문 초록

This paper investigates what role oil prices play in stock market returns in oil-exporting countries. Weekly stock prices and oil prices for three selected countries out of top 15 net oil exporters (Mexico, Russia and Canada) from January 2005 to March 2015 are used for analysis. The empirical results indicate that Brent oil prices are positively correlated to all three stock markets with particularly strong association with Russian stock market. Oil price changes have a causal impact on stock market returns in Mexico and Canada and are affected by all three stock market returns. With respect to the influence of oil price changes on returns and conditional variance by GARCH (1,1) estimation, Brent oil prices affect stock market returns in three net oil exporters significantly and stock market returns in Mexico and Canada are negatively affected by their own lagged returns. Volatility in oil market also has a significant impact on variance on each stock markets. Model fit tests confirm that the equations in GARCH (1,1) model are well specified.

목차

1. Introduction

2. Data and Descriptive Statistics

3. Empirical Results

4. Conclusion

References

키워드

Brent GARCH model Granger causality oil exporters stock market returns