Oil Prices and Stock Markets in Europe: A Sector Perspective
Type de matériel :
TexteLangue : français Détails de publication : 2011.
Sujet(s) : Ressources en ligne : Abrégé : Although previous research shows that there is a strong correlation between oil prices and economic growth, empirical evidence on the impact of oil prices on stock market returns has been mixed. This paper investigates whether there are long-term correlations between oil prices and stock market indices in Europe using both aggregate and sector indices, and linear and asymmetric cointegration. Our findings show how the response of stock prices to oil price depends greatly on the economic sector in question, and that oil prices affect stock returns in an asymmetric fashion.
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Although previous research shows that there is a strong correlation between oil prices and economic growth, empirical evidence on the impact of oil prices on stock market returns has been mixed. This paper investigates whether there are long-term correlations between oil prices and stock market indices in Europe using both aggregate and sector indices, and linear and asymmetric cointegration. Our findings show how the response of stock prices to oil price depends greatly on the economic sector in question, and that oil prices affect stock returns in an asymmetric fashion.
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