Oil price and stock markets in Europe: a sector by sector perspective
Mohamed Arouri (),
Philippe Foulquier () and
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Philippe Foulquier: Edhec Business School - EDHEC Business School
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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; analyse sectorielle; prix du pétrole; marchés boursiers; cointégration asymétrique (search for similar items in EconPapers)
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Published in Recherches Economiques de Louvain - Louvain economic review, De Boeck Université, 2011, Vol. 77 (n° 1), pp 5-30. ⟨10.3917/rel.771.0005⟩
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00822100
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