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Examining the Time-Varying Causality Between Oil Returns and Stock Returns in Norway

Author

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  • Isiaka Akande Raifu

    (Department of Economics, University of Ibadan, Nigeria)

Abstract

This study examines the time-varying causality between oil returns and stock returns in Norway. We find that data frequency determines the direction of causality between oil returns and stock returns. A bidirectional causality exists between oil returns and stock returns in the daily data, while a unidirectional causality runs from stock returns to oil returns in the weekly and monthly data. Time-varying causality also exists between these series.

Suggested Citation

  • Isiaka Akande Raifu, 2023. "Examining the Time-Varying Causality Between Oil Returns and Stock Returns in Norway," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(1), pages 1-9.
    • Handle: RePEc:ayb:jrnerl:74
    DOI: 2023/03/14
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    More about this item

    Keywords

    Oil returns; Stock returns; Time-varying causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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