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dc.contributor.authorHatemi-J, Abdulnasser
dc.contributor.authorAl Shayeb, Abdulrahman
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2018-04-20T13:01:23Z
dc.date.available2018-04-20T13:01:23Z
dc.date.issued2017
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2016.1221045
dc.identifier.urihttp://hdl.handle.net/10072/100210
dc.description.abstractThis article investigates the causal impact of oil prices on stock prices in each G7 market as well as in the world market. An asymmetric causality test developed by Hatemi-J is used for this purpose. Since the underlying data appears to be non-normal with time-varying volatility, we use bootstrap simulations with leverage adjustments in order to produce more reliable critical values than the asymptotic ones. Based on symmetric causality tests, we find no causal effect of oil prices on the stock prices of the world market or any of the G7 countries. However, when we apply an asymmetric causality test, we find that increasing oil prices cause stock prices to rise in the world, the U.S. and Japan while decreasing oil prices cause stock prices to fall in Germany. This may imply that the world, the U.S. and Japanese stock markets consider increases in oil prices as an indicator of good news as this may mean that there is an increase in oil demand due to an expected growth in the economy while the German stock market treats decreasing oil prices as a signal of an expected contraction in the economy.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.ispartofpagefrom1584
dc.relation.ispartofpageto1592
dc.relation.ispartofissue16
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume49
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchApplied economics not elsewhere classified
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode380199
dc.subject.fieldofresearchcode3802
dc.titleThe effect of oil prices on stock prices: fresh evidence from asymmetric causality tests
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2017 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 16 September 2016 available online: http://www.tandfonline.com/doi/full/10.1080/00036846.2016.1221045
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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