The impact of oil price fluctuations on stock markets in developed and emerging economies

Thai-Ha Le and Youngho Chang ()

MPRA Paper from University Library of Munich, Germany

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 sign for 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)
Date: 2011-06-16
New Economics Papers: this item is included in nep-ene and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/31753/1/MPRA_paper_31753.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/31936/3/MPRA_paper_31936.pdf revised version (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)
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:31753

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 ().