Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries

Anna Créti, Zied Ftiti and Khaled Guesmi
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Anna Créti: X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Zied Ftiti: IPAG - Business School, Université de Tunis

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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-importer countries (US, Italy, Germany, Netherland and France) and exporter ones (Emirate Arab Units, Kuwait Saudi Arabia and Venezuela). The dataset consists of monthly data from 03/09/2000 to 03/12/2010. We propose a new empirical methodology setting 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), and developed by Ftiti (2010) that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and long-run dependence. We find that interdependence between oil price and stock markets is higher in the exporters countries than in the importers one.

Keywords: oil prices; stock markets; evolutionary co-spectraL analysis (search for similar items in EconPapers)
Date: 2013-05-14
New Economics Papers: this item is included in nep-ene
Note: View the original document on HAL open archive server: https://hal.science/hal-00822070
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Citations: View citations in EconPapers (6)

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Working Paper: Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries (2013)
Working Paper: Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries (2013)
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