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Oil price shocks, equity markets, and contagion effect in OECD countries

Creti, Anna; Abid, Ilyes; Guesmi, Khaled (2020), Oil price shocks, equity markets, and contagion effect in OECD countries, European Journal of Comparative Economics, 17, 2, p. 155-183. 10.25428/1824-2979/202002-155-183

Type
Article accepté pour publication ou publié
Date
2020
Journal name
European Journal of Comparative Economics
Volume
17
Number
2
Publisher
LIUC Università Cattaneo
Pages
155-183
Publication identifier
10.25428/1824-2979/202002-155-183
Metadata
Show full item record
Author(s)
Creti, Anna
EconomiX
Laboratoire d'Economie de Dauphine [LEDa]
Abid, Ilyes
Guesmi, Khaled
Paris School of Business [PSB]
Abstract (EN)
This paper revisits the dynamic linkages between the Brent oil market and OECD stock markets. Econometrically, we use a multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process, controlling main financial time-series features such as asymmetry, volatility, and long memory. Based on daily data for 17 OECD stock markets from March 16, 1998 to February 23, 2018, we show three main findings. First, the impact of oil price shocks on the relationship between oil and stock markets is more pronounced during periods of global turmoil and asymmetric in all countries. Second, we do not observe a proper ‘contagion effect’ across all countries. Finally, this paper identifies five groups of countries based on the shape of the dynamic conditional correlation, which indicates that the relationship between oil and stock markets is segmented geographically. The findings have several policy implications.
Subjects / Keywords
Financialization; Conditional correlations; Segmented geographically; c-DCC-FIAPARCH model
JEL
C10 - General
E44 - Financial Markets and the Macroeconomy
G15 - International Financial Markets

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