The Oil Price Effects in the Greek Stock Market

Andreas-Ektor Lake and Constantinos Katrakilides
Authors registered in the RePEc Author Service: Constantinos Katrakilidis

International Journal of Maritime, Trade & Economic Issues (IJMTEI), 2013, vol. I, issue 1, 49-58

Abstract: This paper investigates the effects between the Greek stock market returns and the oil price during a period in which the oil prices have been increasing. We employ a VAR model in conjunction with Granger-causality tests and we investigate the interactions among the stock market returns, the volatility of the stock market price index, the oil returns and the volatility of oil prices. The empirical evidence supports the existence of significant causal effects running from oil price returns and volatility of oil prices towards the stock market.

Keywords: Stock market; oil price effects (search for similar items in EconPapers)
JEL-codes: C50 L16 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ers:ijmtei:v:i:y:2013:i:1:p:49-58

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