Show simple item record

Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

dc.creatorGómez-González, José Eduardo
dc.creatorHirs-Garzón, Jorge
dc.date.created2017-08-10
dc.date.issued2017-08-10
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6322
dc.description.abstractWe study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger causality between markets dynamically, endogenously identifying periods for which oil prices have responded to innovations in financial markets. Our results on connectedness show that the direction of transmission is mainly from stock markets to crude petroleum prices. Additionally, connectedness increased importantly around the global financial crisis, and reports high levels until 2014. Regarding causality, we find evidence of bidirectional relations between stock market returns and crude petroleum prices. Causality is stronger during times of financial volatility as well. Our results have important implications both for investors and policy makers.
dc.format.extent22 páginas : gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 1009
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectCausalidad variable en el tiempo
dc.subjectPrecios del petróleo
dc.subjectRendimiento del mercado de valores
dc.subjectEconomía de mercados emergentes
dc.titleUncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study
dc.typeWorking Paper
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rates
dc.subject.jelG01 - Financial Crises
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordTime-varying causality
dc.subject.keywordOil price
dc.subject.keywordStock market returns
dc.subject.keywordEmerging market economies
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparados
dc.subject.lembPetróleo -- Precios
dc.subject.lembCausalidad de Granger
dc.subject.lembBolsa de valores -- Rendimiento -- China
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
dc.subject.jelspaG01 - Crisis financiera
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationArouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539.
dc.source.bibliographicCitationBorio, C., McCauley, R., McGuire, P., & Sushko,V. 2016. Covered interest parity lost: understanding the cross-currency basis. Working paper, Bank of International Settlements.
dc.source.bibliographicCitationBouri, E., Chen, Q., Lien, D., & Lv, X. (2017). Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mech- anism. International Review of Economics & Finance, 48, 34-48.
dc.relation.doihttps://doi.org/10.32468/be.1009
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1009.html
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6322
dc.source.handleRepecRePEc:bdr:borrec:1009


Files in this item

Thumbnail
Name:
be_1009.pdf
Size:
812.8Kb
Format:
PDF
Description:
Borradores de Economía No. 1009
Download

This item appears in the following Collection(s)

Show simple item record

This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit