Crude oil and equity markets in major European countries: New evidence

Ramzi Benkraiem, Thi hong van Hoang (), Amine Lahiani () and Anthony Miloudi ()
Additional contact information
Thi hong van Hoang: Montpellier Business School and Montpellier Research in Management, France
Amine Lahiani: LEO, University of Orleans, France

Economics Bulletin, 2018, vol. 38, issue 4, 2094-2110

Abstract: This article aims at studying the relationship between oil prices and stock indexes in four major European countries, i.e. United Kingdom (UK), Germany, France, and Italy using monthly data over the 1999–2016 period. We employ the Quantile Autoregressive Distributed Lags model of Cho et al. (2015) that accounts for distributional asymmetry in the relationship between stock prices and energy prices in the long and short run. Findings show that the distinction between short-run and long-run, between quantiles, and between countries are of particular importance. For the UK, only the long-run relationship between oil and stock prices is significant at medium and high quantiles. For Italy, this is true only at high quantiles. However, for France and Germany, the relationship is significant only in the short run, at low and medium quantiles for France and only at low quantiles for Germany. The results of the quantile Granger causality test of Troster (2018) confirm the importance of distinguishing between quantiles and between countries while investigating the causal relationship between oil prices and stock indexes. These results contribute to understand inconclusive results in previous studies. They also provide important information for investors, portfolio managers, and policymakers.

Keywords: Equity markets; Oil; Europe; Quantile cointegration; Quantile Granger causality. (search for similar items in EconPapers)
JEL-codes: C3 Q4 (search for similar items in EconPapers)
Date: 2018-11-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I4-P193.pdf (application/pdf)

Related works:
Working Paper: Crude oil and equity markets in major European countries: New evidence (2018)
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:ebl:ecbull:eb-18-00237

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().