Theoretical and Applied Economics
No. 4 / 2017 (613), Winter
The relationship between oil and stock prices: The case of developing and developed countries
Sakarya University, Turkey
Nazire GÖLEÇ
Uludağ University, Turkey
Vedat Ender TUNA
Vedat Ender Tuna Sworn Financial Advisory and Independent Audit Company Sakarya, Turkey
Abstract. This research examines the relationship between oil prices and stock market indices of developed and developing countries. All analyses in this study were performed with the monthly data of December 1992 – April 2016 period. The long-term relationship between stock market indices and oil prices was examined by Pedroni Panel Cointegration analysis. Dumitrescu-Hurlin (2012) causality test examines the direction of the relationship between oil prices and long-run markets. According to the findings, there is a long-term relationship between stock exchanges in developing countries and oil prices, and there is a two-way causality between stock prices and oil prices. However, in developed country stock markets, the causality relation is one way and it is correct to oil prices from stock prices.
Keywords: oil price, developed stock exchange, developing stock exchange, causality relationship.
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