Energy Shocks and Financial Markets: Nonlinear Linkages

Ciner Cetin
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Ciner Cetin: Northeastern University

Studies in Nonlinear Dynamics & Econometrics, 2001, vol. 5, issue 3, 11

Abstract: This paper examines the dynamic linkages between oil prices and the stock market. Prior work argues that daily oil futures price changes and the S&P 500 stock index movements are not related. This conclusion could be due to the fact that only linear linkages have been examined. Relying on nonlinear causality tests, this study provides evidence that oil shocks affect stock index returns, which is consistent with the documented influence of oil on economic output. Moreover, the study finds that the linkage between oil prices and the stock market was stronger in the 1990s.

Keywords: oil prices; nonlinear causality; equity markets (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (216)

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DOI: 10.2202/1558-3708.1079

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