The impact of global oil price shocks on the Lebanese stock market

Leila Dagher () and Sadika El Hariri

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the dynamic linkages between oil prices and stock markets, also known as the oil price-stock price nexus. Within the framework of a VAR we examine dynamic interactions between daily Brent spot prices and several Lebanese stock prices. As expected, we find evidence of oil prices Granger causing stock prices, but no evidence of the opposite relationship. To better understand how shocks in the oil market are transmitted to the stock market, the orthogonalized impulse response function is examined. The behavior of all stocks examined is very similar; they all respond positively to a shock in crude oil prices on the same day and the day after the shock, with the impact of the shock disappearing thereafter. As for the variance decomposition analysis, it shows that the forecast errors of the stocks are largely attributable to their own innovations and the percentages do not change much with time. Only around 1% is attributable to oil shocks, increasing to around 3% after a few days and remaining at that level. Thus, our main conclusion is that the estimated level of the impact of an oil price shock on the Lebanese stock market is positive but marginal.

Keywords: oil price shocks; Beirut Stock Exchange; impulse response function; variance decomposition (search for similar items in EconPapers)
JEL-codes: C32 C51 G15 Q43 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/116123/1/MPRA_paper_116123.pdf original version (application/pdf)

Related works:
Journal Article: The impact of global oil price shocks on the Lebanese stock market (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:116123

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().