Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach
International Journal of Applied Econometrics and Quantitative Studies, 2004, vol. 1, issue 2, 27-40
This study examines the dynamic linkages between crude oil price shocks and stock market returns in 22 emerging economies. The vector autoregression (VAR) analysis is carried on daily data for the period spanned from January 1, 1998 to April 31, 2004. This study utilized the generalized approach to forecast error variance decomposition and impulse response analysis in favor of the more traditional orthogonalized approach. Inconsistent with prior research on developed economies, the findings imply that oil shocks have no significant impact on stock index returns in emerging economies. The results also suggest that stock market returns in these economies do not rationally signal shocks in the crude oil market.
Keywords: Oil Prices; Emerging stock markets; VAR model. (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eaa:ijaeqs:v:1:y2004:i:1_8
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