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Short and long-term links between oil prices and stock markets in Europe

Author

Listed:
  • Arouri Mohamed El Hedi

    (LEO & EDHEC Business School)

  • Jawadi Fredj

    (Amiens School of Management and EconomiX-CNRS-University of Paris 10)

Abstract

Although the assumption in the financial press is that fluctuations in the price of oil affect stock market prices, empirical evidence of the impact of these fluctuations on stock returns has been mixed. Unlike other empirical studies, which have focused largely on broad market indices (national and/or regional indices), our study adds to knowledge of the relationship between oil prices and stock markets in Europe by testing for short- and long-term links in the aggregate as well as sector by sector. We show that the response of stock returns to oil price changes differs greatly depending on the sector of activity. In particular, we show that changes in the price of oil have negative effects on short- and long-term stock prices in Food & Beverages.

Suggested Citation

  • Arouri Mohamed El Hedi & Jawadi Fredj, 2010. "Short and long-term links between oil prices and stock markets in Europe," Economics Bulletin, AccessEcon, vol. 30(1), pages 817-828.
    • Handle: RePEc:ebl:ecbull:eb-09-00534
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    References listed on IDEAS

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    Cited by:

    1. Laura Cueppers & Dieter Smeets, 2015. "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 321-334.
    2. Nnaemeka Vincent Emodi & Kyung-Jin Boo, 2015. "Sustainable Energy Development in Nigeria: Overcoming Energy Poverty," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 580-597.
    3. Aghababa, Hajar & Barnett, William A., 2016. "Dynamic structure of the spot price of crude oil: does time aggregation matter?," Energy Economics, Elsevier, vol. 59(C), pages 227-237.

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    More about this item

    Keywords

    oil prices; short and long term analysis; sector indices.;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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