Oil supply and demand shocks and stock price: Evidence for some OECD countries

Abderrazak Dhaoui and Youssef Saidi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the interactive relationships between oil price shocks and stock market in 11 OECD countries using Vector Error Correction Models (VECM). Considering both world oil production and world oil prices to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock market returns to the oil price shocks specifications is found. As for impulse response functions, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ along the various oil shock specifications. Our finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. However, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD countries, and positively impacted in the oil exporting OECD countries.

Keywords: Oil price; Stock market return; Oil supply shocks; Oil demand shocks, Vector Error Correction Models. (search for similar items in EconPapers)
JEL-codes: G12 Q43 (search for similar items in EconPapers)
Date: 2015-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/63616/9/MPRA_paper_63616.pdf revised version (application/pdf)

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