Oil price and financial markets: Multivariate dynamic frequency analysis

Anna Creti, Zied Ftiti () and Khaled Guesmi

Energy Policy, 2014, vol. 73, issue C, 245-258

Abstract: The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters׳ markets than in the importers׳ ones.

Keywords: Oil prices; Stock markets; Evolutionary co-spectral analysis (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (69)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301421514003723
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Oil price and financial markets: Multivariate dynamic frequency analysis (2014)
Working Paper: Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis (2014)
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:eee:enepol:v:73:y:2014:i:c:p:245-258

DOI: 10.1016/j.enpol.2014.05.057

Access Statistics for this article

Energy Policy is currently edited by N. France

More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().