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Examining the Relationship between Oil Prices and Stock Returns: Evidence from OECD Countries

Author

Listed:
  • Havane Tembelo

    (Istanbul Aydin University, Istanbul, Turkey)

  • Mustafa Ozyesil

    (Istanbul Aydin University, Istanbul, Turkey)

Abstract

This study uses data from the OECD countries to investigate the relationship between stock returns and oil prices. The study uses daily closing values for analysis and covers the years 2000 - 2022. Oil prices are taken as the independent variable and stock returns as the dependent variable using the panel data analysis. The analysis includes intermediary factors as GDP and inflation. The research begins with a unit root test, followed by a panel co-integration test. Finally, the panel causality test and panel regression results are interpreted. This study primarily aims to explore the effect of oil price volatility on stock returns. Results show a statistically significant positive association between stock returns and oil prices. These findings highlight the importance of oil prices as a determinant of stock returns in the financial markets and provide investors, financial institutions and policymakers valuable insights.

Suggested Citation

  • Havane Tembelo & Mustafa Ozyesil, 2024. "Examining the Relationship between Oil Prices and Stock Returns: Evidence from OECD Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 307-315, May.
    • Handle: RePEc:eco:journ2:2024-03-31
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil Prices; Stock Returns; Volatility; Panel Data; OECD Countries;
    All these keywords.

    JEL classification:

    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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