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Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries

Author

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  • Stefan Stojkov

    (Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia)

  • Emilija Beker Pucar

    (Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia)

  • Olgica Glavaški

    (Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia)

  • Marina Beljić

    (Department of Economic Theory and Policy, Faculty of Economics, University of Novi Sad, 24000 Subotica, Serbia)

Abstract

The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in terms of prompt reaction to external shocks with divergent effects. Oil price fluctuations are of essential importance for macroeconomic performance, which is particularly reflected in countries more dependent on the import of this raw material. This research aims to apostrophize the asymmetric effects of oil price fluctuations on the stock market indices on a sample of higher (Germany, Italy, France) vs. lower (Croatia, Bulgaria, Ireland) oil importers. The empirical findings are determined based on impulse response functions derived from the VAR model as well as the Granger causality test of the relationship between stock market indices and oil price fluctuations. In order to identify the isolated impact of oil price movements on stock market indices of selected European economies, the VAR (Vector AutoRegression) model is evaluated in the time period 2013M1-2023M1. The results of the research indicate an asymmetric mechanism of the impact of oil shocks on the financial markets of EU member states.

Suggested Citation

  • Stefan Stojkov & Emilija Beker Pucar & Olgica Glavaški & Marina Beljić, 2023. "Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries," Economies, MDPI, vol. 11(11), pages 1-17, November.
    • Handle: RePEc:gam:jecomi:v:11:y:2023:i:11:p:279-:d:1279326
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    References listed on IDEAS

    as
    1. Malik, Farooq & Umar, Zaghum, 2019. "Dynamic connectedness of oil price shocks and exchange rates," Energy Economics, Elsevier, vol. 84(C).
    2. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
    3. Jiang, Wei & Liu, Yan, 2021. "The asymmetric effect of crude oil prices on stock prices in major international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
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    Cited by:

    1. Stefan Stojkov & Emilija Beker Pucar & Aleksandar Sekulić, 2024. "Real Exchange Rate Channel of QE Monetary Transmission Mechanism in Selected EU Members: The Pooled Mean Group Panel Approach," JRFM, MDPI, vol. 18(1), pages 1-21, December.

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