The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies

Thai-Ha Le and Youngho Chang ()

No 1103, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

Abstract: This study examines the response of stock markets to oil price volatilities in Japan, Singapore, Korea and Malaysia by applying the generalized impulse response and variance decomposition analyses to the monthly data spanning 1986:01 – 2011:02. The results suggest that the reaction of stock markets to oil price shocks varies significantly across markets. Specifically, the stock market responds positively in Japan while negatively in Malaysia; the signal in Singapore and South Korea is unclear. We find that the stock market inefficiency, among others, appeared to have slowed the responses of the stock market to aggregate shocks such as oil price surges.

Keywords: oil price fluctuation; stock return; exchange rate; emerging market; VAR model (search for similar items in EconPapers)
JEL-codes: F3 G14 G15 Q43 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2011-03
New Economics Papers: this item is included in nep-ene and nep-sea
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Citations: View citations in EconPapers (11)

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http://www3.ntu.edu.sg/hss2/egc/wp/2011/2011-03.pdf (application/pdf)

Related works:
Working Paper: The impact of oil price fluctuations on stock markets in developed and emerging economies (2011)
Working Paper: The impact of oil price fluctuations on stock markets in developed and emerging economies (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nan:wpaper:1103

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