Examining the Time-Varying Causality Between Oil Returns and Stock Returns in Norway

Isiaka Raifu

Energy RESEARCH LETTERS, 2023, vol. 4, issue 1, 1-9

Abstract: This study examines the time-varying causality between oil returns and stock returns in Norway. We find that data frequency determines the direction of causality between oil returns and stock returns. A bidirectional causality exists between oil returns and stock returns in the daily data, while a unidirectional causality runs from stock returns to oil returns in the weekly and monthly data. Time-varying causality also exists between these series.

Keywords: Oil returns; Stock returns; Time-varying causality (search for similar items in EconPapers)
JEL-codes: C32 C58 Q41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:74

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