期刊
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷 20, 期 3, 页码 152-164出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2011.02.014
关键词
Oil prices; Oil price shocks; Stock market returns; DCC-GARCH; Dynamic correlation
The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and Oil-importing: USA, Germany, Netherlands. The contemporaneous correlation results show that i) although time-varying correlation does not differ for oil-importing and oil-exporting economies, ii) the correlation increases positively (negatively) in respond to important aggregate demand-side (precautionary demand) oil price shocks, which are caused due to global business cycle's fluctuations or world turmoil (i. e. wars). Supply-side oil price shocks do not influence the relationship of the two markets. The lagged correlation results show that oil prices exercise a negative effect in all stock markets, regardless the origin of the oil price shock. The only exception is the 2008 global financial crisis where the lagged oil prices exhibit a positive correlation with stock markets. Finally, we conclude that in periods of significant economic turmoil the oil market is not a safe haven for offering protection against stock market losses. (C) 2011 Elsevier Inc. All rights reserved.
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