Interrelationship between crude oil and the stock markets of major demanders and suppliers in emerging and developed markets

Murad Bein

Applied Economics Letters, 2019, vol. 26, issue 15, 1247-1252

Abstract: This paper investigates the time-varying relationship between the stock markets of advanced and emerging oil-exporting and oil-importing countries and the international crude oil price indices. The results reveal that the time-varying among the oil-exporting and oil-importing countries responds similarly to aggregate supply- and demand-side effects. Oil-exporting countries have a slightly higher integration with the oil markets, while oil supply shocks have a slightly higher impact on emerging oil-exporting countries. The oil markets exhibit a lower time-varying relationship with the Asia-Pacific oil-importing markets, which indicates those markets may be attractive to investors during periods of turbulence in the oil market.

Date: 2019
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DOI: 10.1080/13504851.2018.1545071

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