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

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardospa
dc.creatorHirs-Garzón, Jorgespa
dc.date.accessioned2017-08-10T08:30:10Zeng
dc.date.available2017-08-10T08:30:10Zspa
dc.date.created2017-08-10spa
dc.date.issued2017-08-10eng
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.eng
dc.format.extent22 páginas : gráficas, tablaseng
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6322spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6322eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.1009spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 1009spa
dc.relation.numberBorrador 1009spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1009.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
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.eng
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.eng
dc.source.handleRepecRePEc:bdr:borrec:1009spa
dc.subjectCausalidad variable en el tiempospa
dc.subjectPrecios del petróleospa
dc.subjectRendimiento del mercado de valoresspa
dc.subjectEconomía de mercados emergentesspa
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processeseng
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónspa
dc.subject.jelspaG01 - Crisis financieraspa
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosspa
dc.subject.keywordTime-varying causalityeng
dc.subject.keywordOil priceeng
dc.subject.keywordStock market returnseng
dc.subject.keywordEmerging market economieseng
dc.subject.lembBolsa de valores -- Rendimiento -- Estudios comparadosspa
dc.subject.lembPetróleo -- Preciosspa
dc.subject.lembCausalidad de Grangereng
dc.subject.lembBolsa de valores -- Rendimiento -- Chinaspa
dc.titleUncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country studyeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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