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Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?

Author

Listed:
  • Manel Youssef

    (Department of Statistics and Quantitative methods, College of Business Administration, Northern Border University, Arar 91431, P.O. Box 1321, Kingdom of Saudi Arabia)

  • Khaled Mokni

    (Department of Statistics and Quantitative methods, College of Business Administration, Northern Border University, Arar 91431, P.O. Box 1321, Kingdom of Saudi Arabia
    Department of Quantitative methods, Institut Supérieur de Gestion de Gabès, University of Gabès, Street Jilani Habib, Gabès 6002, Tunisia)

Abstract

The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of oil-exporting and oil-importing countries. We employed a DCC-FIGARCH model to assess the dynamic relationship between these markets over the period between 2000 and 2018. Our findings report the following regularities: First, the oil-stock markets’ relationship and that between oil-importing and oil-exporting countries’ stock markets themselves is time-varying. Moreover, we note that the response of stock market returns to oil price changes in oil-importing countries changes is more pronounced than for oil-exporting countries during periods of turmoil. Second, the oil-stock dynamic correlations tend to change as a result of the origin of oil prices shocks stemming from the period of global turmoil or changes in the global business cycle. Third, oil prices significantly drive the relationship between oil-importing and oil-exporting countries’ stock markets in both high and low oil-stock correlation regimes.

Suggested Citation

  • Manel Youssef & Khaled Mokni, 2019. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?," Economies, MDPI, vol. 7(3), pages 1-22, July.
    • Handle: RePEc:gam:jecomi:v:7:y:2019:i:3:p:70-:d:247077
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