Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries

Stefan Stojkov (), Emilija Beker Pucar, Olgica Glavaški and Marina Beljić
Additional contact information
Stefan Stojkov: Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia
Emilija Beker Pucar: Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia
Olgica Glavaški: Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia
Marina Beljić: Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia

Economies, 2023, vol. 11, issue 11, 1-17

Abstract: The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in terms of prompt reaction to external shocks with divergent effects. Oil price fluctuations are of essential importance for macroeconomic performance, which is particularly reflected in countries more dependent on the import of this raw material. This research aims to apostrophize the asymmetric effects of oil price fluctuations on the stock market indices on a sample of higher (Germany, Italy, France) vs. lower (Croatia, Bulgaria, Ireland) oil importers. The empirical findings are determined based on impulse response functions derived from the VAR model as well as the Granger causality test of the relationship between stock market indices and oil price fluctuations. In order to identify the isolated impact of oil price movements on stock market indices of selected European economies, the VAR (Vector AutoRegression) model is evaluated in the time period 2013M1-2023M1. The results of the research indicate an asymmetric mechanism of the impact of oil shocks on the financial markets of EU member states.

Keywords: oil price shocks; spillover; EU; asymmetric effects (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-7099/11/11/279/pdf (application/pdf)
https://www.mdpi.com/2227-7099/11/11/279/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:11:y:2023:i:11:p:279-:d:1279326

Access Statistics for this article

Economies is currently edited by Ms. Hongyan Zhang

More articles in Economies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().