Oil Prices and Stock Markets in Europe: A Sector Perspective
Mohamed Arouri (),
Philippe Foulquier and
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Philippe Foulquier: Edhec Business School
No 2011011, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
Although previous work shows strong relationships between oil prices and economic activity, the empirical evidence on the impact of oil prices on stock market returns has been mixed. This article investigates the existence of long-term relationships between oil prices and stock market indices in Europe using both aggregate and sector indices and linear and asymmetric cointegration. Our findings show that the response of stock prices to oil price depends greatly on the sector of activity and that oil prices affect stock returns in an asymmetric fashion.
Keywords: European sectoral analysis; oil prices; stock markets; asymmetric cointegration (search for similar items in EconPapers)
JEL-codes: F3 G12 Q43 (search for similar items in EconPapers)
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Journal Article: Oil Prices and Stock Markets in Europe: A Sector Perspective (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvre:2011011
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