Oil prices and stock markets in Europe: A sector perspective

Recherches Economiques de Louvain

Volumn 77, Issue 1, 2011, Pages 5-30

  Hedi Arouri, Mohamed El ^a,b   Foulquier, Philippe ^b   Fouquau, Julien ^c  

^a UNIVERSITÉ D'ORLÉANS   (France)

^b EDHEC BUSINESS SCHOOL   (France)

^c NEOMA BUSINESS SCHOOL   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79957583303     PISSN: 07704518     EISSN: None     Source Type: Journal    
DOI: 10.3917/rel.771.0005     Document Type: Review

References (45)

1. Apergis N. and Miller S. M. (2009), "Do structural Oil-Market Shocks affect Stock Prices?" Energy Economics, 31, pp. 569-75.
2. Balaz, P., Londarev, A., (2006), "Oil and its Position in the Process of Globalization of the World Economy". Politická Ekonomie, 54 (4), pp. 508-528. (Pubitemid 44369856)
3. Barsky, R. and L. Killian (2004), "Oil and the macroeconomy since the 1970s", Journal of Economic Perspectives, 18(4), pp. 115-134. (Pubitemid 40167057)
4. Basher, S. A. and P. Sadorsky (2006) "Oil Price Risk and Emerging Stock Markets", Global Finance Journal, 17, pp. 224-251. (Pubitemid 44718403)
5. Boyer M.M. and Filion D. (2007), "Common and Fundamental Factors in Stock Returns of Canadian oil and Gas Companies", Energy Economics, 29(3), pp. 428-53. (Pubitemid 46395112)
6. Choi, I. and Saikkonen P. (2004), "Testing linearity in cointegrating smooth transition regressions", Econometrics Journal 7, pp. 341-346.
7. Ciner, C. (2001). "Energy Shocks and Financial Markets: Nonlinear Linkages." Studies in Non-Linear Dynamics and Econometrics, 5, pp. 203-12.
8. Cologni, A. and M. Manera (2008). "Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries." Energy Economics, 30, pp. 856-88. (Pubitemid 351292417)
9. Cologni, A. and M. Manera (2009). "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Economic Modelling, 26, pp. 1-29.
10. Cunado, J., Perez de Garcia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries." The Quarterly Review of Economics and Finance 45 (1), pp. 65-83. (Pubitemid 40097078)
11. Davis, SJ, and Haltiwanger J. (2001). "Sectoral Job Creation and Destruction Responses to Oil Price Changes," Journal of Monetary Economics, 48, pp. 465-512. (Pubitemid 33619235)
12. Dickey, D.A., and W.A. Fuller (1981), "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, 49(4), pp. 1057-72.
13. El-Sharif I, Brown D., Burton B., Nixon B., Russel A. (2005), "Evidence on the Nature and Extent of the Relationship between Oil and Equity Value in UK", Energy Economics, 27(6), pp. 819-830. (Pubitemid 41722599)
14. Engle, R.F., and C.W.J. Granger (1987), "Co-integration and Error Correction: Representation, Estimation, and Testing ", Econometrica, 55(2), pp. 251-76.
15. Ferderer, J. P. (1996), "Oil Price Volatility and the Macroeconomy", Journal of Macroeconomics 18 1, pp. 1-26 (Pubitemid 126314554)
16. Gronwald, M. (2008). "Large oil shocks and the US economy: Infrequent incidents with large effects," Energy Journal, 29, pp. 151-71.
17. Hamilton, J. D. (1988), "A Neoclassical Model of Unemployment and the Business Cycle", Journal of Political Economy, 96, pp. 593-617.
18. Hamilton, J. D. (2003). "What is an Oil Shock?" Journal of Econometrics, 113, pp. 363-98.
19. Hamilton, J.D. (1983), "Oil and the Macroeconomy since World War II", Journal of Political Economy 91, pp. 228-248.
20. Hammoudeh, S. and K. Choi. (2006) 'Behavior of GCC Stock Markets and Impacts of US Oil and Financial Markets', Research in International Business and Finance, Vol. 20 no. 1, pp. 22-44. (Pubitemid 43231366)
21. Huang, R. D., Masulis, R. W., and H. R. Stoll (1996). "Energy shocks and financial markets", Journal of Futures Markets, 16, pp. 1-27. (Pubitemid 126647704)
22. Johansen S. (1991), "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, 59, pp. 1551-1580.
23. Jones, C.M., Kaul, G. (1996), "Oil and the Stock Markets", Journal of Finance, vol. 51, n 2, pp. 463-491. (Pubitemid 126313377)
24. Jones, D. W., Lelby, P. N. and Paik, I. K. (2004), "Oil Prices Shocks and the Macroeconomy: What Has Been Learned Since", The Energy Journal, 25, pp. 1-32.
25. Kilian, L., (2008). "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the US Economy?" Review of Economics and Statistics, 90, pp. 216-40.
26. Killian, L. (2009), "Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market", American Economic Review, 99(3), 1053-69.
27. Kwiatkowski, D., Phillips, P. and Y. Shin, (1992), "Testing for the Null Hypothesis of Stationarity against the Alternative of a Unit Root", Journal of Econometrics 54, pp. 159-178.
28. Lardic S. and Mignon V. (2006), "The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration", Energy Policy, vol. 34(18), pp. 3910-3915. (Pubitemid 44567254)
29. Lardic S. and Mignon V. (2008), "Oil prices and economic activity: An asymmetric cointegration approach", Energy Economics, vol. 30(3), pp. 847-855. (Pubitemid 351292415)
30. Lee, K., and S. Ni. (2002) "On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data," Journal of Monetary Economics 49, pp. 823-852.
31. Maghyereh, A. (2004), "Oil price shocks and emerging stock markets: a generalised VAR approach", International Journal of Applied Econometrics and Quantitative Studies 1, pp. 27-40.
32. Mork K. (1989), "Oil and the Macroeconomy when prices Go Up and Down: an Extension of Hamilton's Results", Journal of Political Economy, 91, pp. 740-744.
33. Mork, K.A., Olsen, O. and Mysen, H.T. (1994), "Macroeconomic responses to oil price increases and decreases in seven OECD countries", Energy Journal 15 4, pp. 19-35.
34. Nandha M. and Faff R. (2008), "Does Oil Move Equity Prices? A Global View", Energy Economics, 30, pp. 986-97. (Pubitemid 351292437)
35. Nandha, M. and Brooks, R. (2009), 'Oil prices and transport sector returns: an international analysis', Review of Quantitative Finance and Accounting, 33(4).
36. Nandha, M., and Hammoudeh, S. (2007), "Systematic Risk, and Oil Price and Exchange Rate Sensitivities in Asia-Pacific Stock Markets", Research in International Business and Finance 21, pp.326-41.
37. Newey, W. K., and K. D. West (1994). "Automatic Lag Selection in Covariance Matrix Estimation", Review of Economic Studies, 61(4), pp. 631-653.
38. Papapetrou, E. (2001). "Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece," Energy Economics, 23, pp. 511-32. (Pubitemid 32793163)
39. Park, J. and Ratti R.A. (2008),"Oil Price Shocks and Stock Markets in the US and 13 European Countries", Energy Economics, 30, pp. 2587-2608.
40. Sadorsky P. (2001), "Risk Factors in Stock Returns of Canadian Oil and Gas Companies", Energy Economics, 23, pp. 17-28. (Pubitemid 32232563)
41. Sadorsky, P. (1999), Oil Price Shocks and Stock Market Activity, Energy Economics, vol. 2, pp. 449-469. (Pubitemid 29527488)
42. Schorderet, Y. (2004), "Asymmetric Cointegration", Working Paper, Department of Econometrics, University of Geneva.
43. Shen, C.H., Chen C.F. and Chen, L.H. (2007), "An empirical study of the asymmetric cointegration relationships among the Chinese stock markets", Applied Economics, vol. 39, n 11, pp. 1433-1445(13);
44. West K.D. (1988), "Asymptotic normality when regressors have a unit root", Econometrica, 56, pp. 1397-1417.
45. Zhang D. (2008),"Oil shock and economic growth in Japan: A nonlinear approach", Energy Economics, vol. 30, issue 5, pp. 2374-2390.