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:: Volume 1, Issue 1 (Quarterly Journal of Energy Policy and Planning Research 2016) ::
2016, 1(1): 157-184 Back to browse issues page
Dynamic interaction of oil and stock markets: Evidence from Selected countries
Abstract:   (5588 Views)

This paper investigates the time Conditional correlation between the stock market and oil prices in major oil-exporting and importing countries. In order to test  the research hypotheses, it uses the DCC-GARCH and GJR models. Islamic Republic of Iran and Suadia Arabia as the  representatives  of the Petroleum Exporting Countries and United States of America, Canada and Japan as major oil-importing countries have been considered.

Evidence suggests that there is no correlation between the two markets. This arises from the fact that the oil price shocks in aggregate demand are placed by fluctuations in the economic cycle (boom and bust) in the global area that affects all financial markets. On the other hand, the precautionary demand for oil that is mainly derived from uncertainty in the oil suppliment will be shown many months before in the futures markets and therefore do not cause changes in the financial markets.

Keywords: Petroleum Research Event, Capital Market, Dynamic Conditional Correlation
Full-Text [PDF 972 kb]   (1472 Downloads)    
Type of Study: Research | Subject: Special
Received: 2015/03/8 | Accepted: 2015/08/10 | Published: 2016/05/16
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Dynamic interaction of oil and stock markets: Evidence from Selected countries. Quarterly Journal of Energy Policy and Planning Research. 2016; 1 (1) :157-184
URL: http://epprjournal.ir/article-1-84-en.html


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Volume 1, Issue 1 (Quarterly Journal of Energy Policy and Planning Research 2016) Back to browse issues page
مجله پژوهش های برنامه ریزی و سیاستگذاری انرژی Journal of Energy Planning And Policy Research
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