2017-08-102017-08-102017-08-102017-08-10https://repositorio.banrep.gov.co/handle/20.500.12134/6322We 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.22 páginas : gráficas, tablasPDFengOpen AccessCausalidad variable en el tiempoPrecios del petróleoRendimiento del mercado de valoresEconomía de mercados emergentesWorking PaperC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesG12 - Asset Pricing; Trading Volume; Bond Interest RatesG01 - Financial CrisesTime-varying causalityOil priceStock market returnsEmerging market economiesBolsa de valores -- Rendimiento -- Estudios comparadosPetróleo -- PreciosCausalidad de GrangerBolsa de valores -- Rendimiento -- ChinaAcceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónG01 - Crisis financieraG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosLas 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.https://hdl.handle.net/20.500.12134/6322