Exploring the Oil Supply-Demand Shocks and Stock market Stabilities: Experience from OECD Countries

Abderrazak Dhaoui, Dalia Streimikiene, Youssef Saidi, Syed Jawad Hussain Shahzad, Nanthakumar Loganathan, Abbas Mardani

Exploring the Oil Supply-Demand Shocks and Stock market Stabilities: Experience from OECD Countries

Číslo: 1/2018
Periodikum: Acta Montanistica Slovaca

Klíčová slova: : oil supply-demand shocks, rolling window, stock market returns

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Anotace: This paper explores the interactive relationships between oil price shocks and the stock market in 11 OECD countries using traditional

cointegration test and look at the rolling window Granger causality effects with various predictive power contents running between the
variables. Taking into account both world oil production and world oil prices in order to supervise for oil supply and oil demand shocks,
strong evidence of the sensitivity of stock market returns to the oil price shock specifications is found in several sub-periods. As for rolling
window causality tests, it is found that the impact of oil price shocks substantially differs along the different countries and that the results
also differ among the various oil shock specifications. The overall finding suggests that oil supply shocks have a negative effect on stock
market returns in the net oil importing OECD countries. Indeed, the stock market returns are negatively impacted by oil demand shocks in
the oil importing OECD countries and positively impacted by the oil exporting OECD countries. Furthermore, these results will give a
dimension for future undertaking studies with varying empirical findings.