Oil price and financial markets: Multivariate dynamic frequency analysis

Anna Creti, Zied Ftiti and Khaled Guesmi
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Anna Creti: LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Zied Ftiti: Université de Tunis, OCRE - EDC Paris

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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
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Citations: View citations in EconPapers (68)

Published in Energy Policy, 2014, 73, pp.245 - 258. ⟨10.1016/j.enpol.2014.05.057⟩

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Journal Article: Oil price and financial markets: Multivariate dynamic frequency analysis (2014)
Working Paper: Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01517425

DOI: 10.1016/j.enpol.2014.05.057

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