Oil prices and stock market returns in oil importing countries: The case of Turkey, Tunisia and Jordan

European Journal of Economics, Finance and Administrative Sciences

Volumn , Issue 16, 2009, Pages 86-101

  Al Fayoumi, Nedal A ^a  

^a UNIVERSITY OF JORDAN   (Jordan)

Author keywords

Causality; Market index; Oil importing countries; Oil prices

Indexed keywords

EID: 77954011616     PISSN: 14502275     EISSN: 14502275     Source Type: Journal    
DOI: None     Document Type: Article

References (46)

1. Abu-Bader, S., and Abu-Qarn, A., (2008), Financial Development and Economic Growth: Empirical Evidence from Six MENA Countries, Review of Development Economics, 12, 803-817.
2. Akaike, H., (1969), Fitting Autoregressive Models for prediction, Annals of the Institute of Statistical Mathematics, 21, 243-247.
3. Anoruo, E., and Mustafa, M., (2007), An Empirical Investigation into the Relation of Oil to Stock Market Prices, North American Journal of Finance and Banking Research, 1, 22-36
4. st Austrailian Finance and Banking Conference Paper, Available at SSRN: http://ssrn.com/abstract=1253904
5. Appenzeller, T., (2004), The End of Cheap Oil, National Geographic Magazine, http://magma.nationalgeographic.com/ngm/0406/feature5/fulltext.html
6. Baliamoune-Lutz, M., (2008), "Financial Development and Income in North Africa", International Advances in Economic Research, 14, 422-432.
7. Basher, S., and Sadorsky, P., (2006). Oil Price Risk and Emerging Stock Markets, Global Finance Journal, 17, 224-251.
8. Bernanke, B., Gertler, M., and Watson, M., (1997), Systematic monetary policy and the effects of oil price shocks, Brookings Papers on Economic Activity, 91-142.
9. Bjørnland, H., (2008), Oil Price Shocks and Stock Market Booms in an Oil Exporting Country, Paper provided by Norges Bank in its series Working Paper with number 2008/16.
10. Chang, Y., and Wong, J., (2003), Oil Prices Fluctuations in Singapore Economy, Energy Policy, 31, 1151-1165.
11. Cologni, A., and Matteo, M., (2008). "Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries", Energy economics, 30, 856-888.
12. Cong, R., Wei, Y., Jiao, J., and Fan, Y., (2008), Relationships between Oil Prices and Stock Market: An Empirical Analysis from China, Energy Policy, forthcoming
13. Cunado, J., and Gracia, F., (2003), Do Oil Price Shocks Matter? Evidence for some European Countries, Energy Economics 25,137-154
14. Cunado, J., and Gracia, F., (2005), Oil Prices, Economic Activity and Inflation: Evidence for some Asian Countries, The Quarterly Review of Economics and Finance 45, 65-83
15. Dickey, D., and W. Fuller (1979), Distribution of the Estimates for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427-431.
16. Dickey, D., and Fuller, W., (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-1072.
17. Driesprong, G., Jacobsen, B., and Maat, B., (2007), Striking Oil: Another Puzzle?, EFA 2005 Moscow Meetings Paper.
18. El-Sharif, I., Brown, D., Burton, B., Nixon, B., and Russell, A., (2005), Evidence on the Nature and Extent of the Relationship between Oil Prices and Equity Values in the UK, Energy Economics 27, 819-830.
19. Eltony, N., and Al-Awadi, W., (2001), Oil price Fluctuations and their Impact on the Macroeconomic Variables of Kuwait: a Case Study Using a VAR Model, International Journal of Energy Research, 25, 939-959.
20. Ferderer, J., (1996), "Oil Price Volatility and the Macroeconomy", Journal of Macroeconomics, 18, 1-26
21. Gjerde, O., and Saettem, F., (1999), Causal Relations among Stock Returns and Macroeconomic Variables in a Small, Open Economy, Journal of International financial market, Institutions and Money, 9,61-74
22. Gogineni, S., (2008), The Stock Market Reaction to Oil Price Changes, Working paper, University of Oklahoma Norman, no 73019-0450 March 13.
23. Granger, C., and Weiss, A., (1983), "Time series analysis of error-correction Models", in S. Karlin, T. Amemiya and L. A. Goodman (eds), Studies in Econometrics, Time Series and Multivariate Statistics, in Honor of T.W.Anderson, Academic Press, San Diego, pp. 255-278.
24. Hamilton, J., (1983), Oil and the Macroeconomy since World War II, Journal of Political Economy, 91, 228-248.
25. Hamilton, J., (2003), "What is an Oil Shock?", Journal of Econometrics, 113, pp. 363-398.
26. Hammoudeh, S., and Choi, K., (2006), Behavior of GCC stock markets and impacts of US, Research in International Business and Finance, 20, 22-44
27. Henriques, I., and Sadorsky, P., (2008), Oil Prices and the Stock Prices of Alternative Energy Companies, Energy Economics, 30, 998-1010.
28. Henriques, I., Sadorsky, P., (2006), Oil Prices and the Stock Prices of Stock Market Indices, Contemporary Economic Policy, 22, 250-269.
29. Hooker, M., (1996), What Happened to the Oil Price-Macroeconomy Relationshi, Journal of Monetary Economics, 38, 195-213.
30. Huang, B., Hwang, M., and Hsiao-Ping, P., (2005), "The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model, Energy Economics, 27,445-476
31. Huang, R., Masulis, R., and Stoll, H., (1996), Energy shocks and financial markets, Journal of Futures Markets, 16, 1-27
32. Jimenez, R., and Marcelo, S., (2005), "Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries, Applied Economics, 37, 201-228
33. Johansen, S., Juselius, K., (1990), Maximum Likelihood Estimation and Inference on with Applications to Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-210
34. Jones, C., and Kaul, G., (1996), Oil and the Stock Market, Journal of Finance, 51,463-491
35. Jones, D., Paul N., and Inja, K., (2004), Oil Price Shocks and the Macroeconomy: What has been learned since 1996, Energy Journal, 25, 1-32.
36. Keane, M., and Prasad, E., (1996), The Employment and Wage Effects of Oil Price Changes: a Sectoral Analysis, The Review of Economics and Statistics, 78, 389-400
37. Kilian, L., (2008), Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?, The Review of Economics and Statistics, MIT Press, 90, 216-240.
38. Kwiatkowski, D., Phillips, P., Schmidt, P., and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root, Journal of Econometrics, 54, 159-178
39. Maghyereh, A., (2007), Oil Prices and Stock Markets in GCC Countries: New Evidence from Nonlinear Cointegration Analysis, Managerial Finance, 33, 449-460.
40. Maghyereh, A., (2004), Oil Prices shocks and Emerging Stock Markets: A Generalized VAR Approach, International Journal of Applied Econometrics and Quantitative Studies, 2, 28-40.
41. Mussa, M., (2000), The Impact of Higher Oil Prices on the Global Economy, International Monetary Fund 2000, 8 December. Available at: http://www.imf.org/external/pubs/ft/oil/2000/.
42. Nandha, M., and Hammoudeh, S., (2007), Systematic Risk, and Oil Price and Exchange Rate Sensitivities in the Asia-Pacific Stock Markets, Research in International Business and Finance, 21, 326-341
43. Papapetrou, E., (2001), Oil price Shocks, Stock Market, Economic Activity and Employment in Greece, Energy Economics, 23, 511-532
44. Park, J., and Ratti, R., (2008), "Oil Prices and Stock Markets in the U.S. and 13 European Countries", Energy Economics, Forthcoming.
45. Phillips, P., and Perron, P., (1988), Testing for a Unit Root in Time Series regression, Biometrika, 75, 335-346.
46. Sadorsky, P. (1999), "Oil price shocks and stock market activity," Energy Economics, 2.