The impact of global oil price shocks on the Lebanese stock market

Energy

Volumn 63, Issue , 2013, Pages 366-374

  Dagher, Leila ^a   El Hariri, Sadika ^a  

^a AMERICAN UNIVERSITY OF BEIRUT   (Lebanon)

Author keywords

Beirut Stock Exchange; Impulse response function; Oil price shocks; Variance decomposition

Indexed keywords

COMMERCE; REGRESSION ANALYSIS;

CRUDE OIL PRICES; DYNAMIC INTERACTION; FORECAST ERRORS; IMPULSE RESPONSE FUNCTIONS; OIL PRICE SHOCKS; STOCK EXCHANGE; VARIANCE DECOMPOSITION; VECTOR AUTOREGRESSIONS;

COSTS;

DECOMPOSITION; GLOBAL ECONOMY; INNOVATION; OIL PRODUCTION; PRICE DETERMINATION; STOCK MARKET; VARIANCE ANALYSIS;

LEBANON;

EID: 84888427761     PISSN: 03605442     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.energy.2013.10.012     Document Type: Article

References (93)

1. Hamilton J.D. Oil and the macroeconomy since World War II. JPolit Econ 1983, 91:228-248.
2. Hamilton J.D. Oil prices and economic downturn. Testimony prepared for the Joint Economic Committee of the U.S. Congress 2009, University of California, San Diego, Available from:. http://www.jec.senate.gov/public/?a=Files.Serve%26File_id=a6fca8ca-4c4f-4006-bca5-67e972dc19e2.
3. Huang R.D., Masulis R.W., Stoll H.R. Energy shocks and financial markets. JFutures Mark 1996, 16:1-27.
4. Aloui C., Jammazi R. The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach. Energy Econ 2009, 31:789-799.
5. Basher S.A., Sadorsky P. Oil price risk and emerging stock markets. Glob Finance J 2006, 17:224-251.
6. Choi K., Hammoudeh S. Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy 2010, 38:4388-4399.
7. Chen S.S. Do higher oil prices push the stock market into bear territory?. Energy Econ 2010, 32:490-495.
8. Kling J.L. Oil price shocks and stock market behavior. JPortf Manag 1985, 12(1):34-39.
9. Nandha M., Hammoudeh S. Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets. Res Int Bus Finance 2007, 21:326-341.
10. Cong R., Wei Y., Jiao J., Fan Y. Relationships between oil price shocks and stock market: an empirical analysis from China. Energy Policy 2008, 36:3544-3553.
11. Narayan P.K., Narayan S. Modelling the impact of oil prices on Vietnam's stock prices. Appl Energy 2010, 87:356-361.
12. Masih R., Peters S., De Mello L. Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Econ 2011, 33:975-986.
13. Nguyen C.C., Bhatti M.I. Copula model dependency between oil prices and stock markets: evidence from China and Vietnam. JInt Financ Mark Inst Money 2012, 22:758-773.
14. Broadstock D.C., Cao H., Zhang D. Oil shocks and their impact on energy related stocks in China. Energy Econ 2012, 34:1888-1895.
15. Abou Zarour B. Wild oil prices, but brave stock markets! the case of GCC stock markets. Oper Res Int J 2006, 6:145-162.
16. Hammoudeh S., Choi K. Behavior of GCC stock markets and impacts of US. Res Int Bus Finance 2006, 20:22-44.
17. Arouri M., Rault C. Oil prices and stock markets: what drives what in the Gulf Corporation Council countries? 2009, 960. William Davidson Institute, Working Paper.
18. Mohanty S., Nandha M., Turkistani A.Q., Alaitani M.Y. Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries. Glob Finance J 2011, 22:42-55.
19. Fayyad A., Daly K. The impact of oil price shocks on stock market returns: comparing GCC countries with the UK and USA. Emerg Mark Rev 2011, 12:61-78.
20. Hammoudeh S., Aleisa E. Dynamic relationships among the GCC stock markets and the NYMEX oil prices. Contemp Econ Policy 2004, 22:250-269.
21. Arouri M.H., Rault C. Oil prices and stock markets in GCC countries: empirical evidence from panel analysis. Int J Finance Econ 2011, Wiley Online Library. 10.1002/ijfe.443.
22. Al-Nahleh M., Al-Zaubia K. Oil prices and financial markets activity: empirical evidence from some MENA countries. Int Bus Res 2011, 4(2):193-200.
23. Akoum I., Graham M., Kivihaho J., Nikkinen J., Omran M. Co-movement of oil and stock prices in the GCC region: a wavelet analysis. QRev Econ Finance 2012, 1-10. http://dx.doi.org/10.1016/j.qref.2012.07.005.
24. United Nations Economic and Social Commission of Western Asia Statistical abstract of the ESCWA region 2011, 30. Available from:. http://www.escwa.un.org/.
25. Beirut Stock Exchange Available from:. http://www.bse.com.lb/.
26. The World Bank Available from:. http://data.worldbank.org/indicator/CM.MKT.LCAP.CD.
27. Arouri M.H., Nguyen D.K. Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 2010, 38:4528-4539.
28. Aloui C., Nguyen D.K., Njeh H. Assessing the impacts of oil price fluctuations on stock returns in emerging markets. Econ Model 2012, 29:2686-2695.
29. Arouri M.H. Does crude oil move stock markets in Europe? A sector investigation. Econ Model 2011, 28:1716-1725.
30. Hamao Y. An empirical examination of the arbitrage pricing theory: using Japanese data. Jpn World Econ 1988, 1:45-61.
31. Chen N.F., Roll R., Ross S.A. Economic forces and the stock market. JBus 1986, 59:383-403.
32. Jones C.M., Kaul G. Oil and stock markets. JFinance 1996, LI(2):464-492.
33. Miller J.I., Ratti R.A. Crude oil and stock markets: stability, instability, and bubbles. Energy Econ 2009, 31:559-568.
34. Sadorsky P. Oil price shocks and stock market activity. Energy Econ 1999, 21:449-469.
35. Faff R.W., Brailsford T.J. Oil price risk and the Australian stock market. JEnergy Finance Dev 1999, 4:69-87.
36. Sadorsky P. Risk factors in stock returns of Canadian oil and gas companies. Energy Econ 2001, 23:17-28.
37. Nandha M., Faff R. Does oil move equity prices? A global view. Energy Econ 2008, 30:986-997.
38. Scholtens B., Yurstsever C. Oil price shocks and European industries. Energy Econ 2012, 34:1187-1195.
39. Hammoudeh S., Li H. Oil sensitivity and systematic risk in oil-sensitive stock indices. JEcon Bus 2005, 57:1-21.
40. Hammoudeh S., Choi K. Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: the case of GCC countries. JInt Financ Mark Inst Money 2007, 17:231-245.
41. Li S., Zhu H., Yu K. Oil prices and stock market in China: a sector analysis using panel cointegration with multiple breaks. Energy Econ 2012, 34:1951-1958.
42. Lin C., Fang C., Cheng H. Relationships between oil price shocks and stock market: an empirical analysis from the greater China. China Econ J 2009, 3(3):241-254.
43. t)-EGARCH model. Energy 2011, 36:6627-6633.
44. El-Sharif I., Brown D., Burton B., Nixon B., Russsell A. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Econ 2005, 27:819-830.
45. Henriques I., Sadorsky P. Oil prices and the stock prices of alternative energy companies. Energy Econ 2008, 30:998-1010.
46. Kilian L., Park C. The impact of oil price shock on the U.S stock market. Int Econ Rev 2009, 50(4):1267-1287.
47. Lescaroux F., Mignon V. On the influence of oil prices on economic activity and other macroeconomic and financial variables. OPEC Energy Rev 2008, 848-855.
48. Cifarelli G., Paladino G. Oil price dynamics and speculation: a multivariate financial approach. Energy Econ 2010, 32:363-372.
49. Papapetrou E. Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ 2001, 23:511-532.
50. Bjornland H.C. Oil price shocks and stock market booms in an oil exporting country. Scott J Polit Econ 2009, 56(2):232-253.
51. Basher S., Haug A.A., Sadorsky P. Oil prices, exchange rates and emerging stock markets. Energy Econ 2012, 34:227-240.
52. Lee B., Yang C.W., Huang B. Oil price movements and stock markets revisited: a case of sector stock price indexes in the G-7 countries. Energy Econ 2012, 34:1284-1300.
53. Ewing B.T., Thompson M.A. Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices. Energy Policy 2007, 35:5535-5540.
54. Kaneko T., Lee B. Relative importance of economic factors in the U.S and Japanese stock markets. JJpn Int Econ 1995, 9:290-307.
55. Ghouri S.S. Assessment of the relationship between oil prices and US oil stocks. Energy Policy 2006, 34:3327-3333.
56. Oberndorfer U. Energy prices, volatility, and the stock market: evidence from the Eurozone. Energy Policy 2009, 37:5787-5795.
57. Mohanty S., Nandha M., Bota G. Oil shocks and stock returns: the case of the Central and Eastern European (CEE) oil and gas sectors. Emerg Mark Rev 2010, 11:358-372.
58. Jammazi R., Aloui C. Wavelet decomposition and regime shifts: assessing the effects of crude oil shocks on stock market returns. Energy Policy 2010, 38:1415-1435.
59. Chiou J.S., Lee Y.H. Jump dynamics and volatility: oil and the stock markets. Energy 2009, 34:788-796.
60. Jammazi R. Cross dynamics of oil-stock interactions: a redundant wavelet analysis. Energy 2012, 44:750-777.
61. Jammazi R. Oil shock transmission to stock market returns: wavelet-multivariate Markov switching GARCH approach. Energy 2012, 37:430-454.
62. Ciner C. Energy shocks and financial markets: nonlinear linkages. Stud Nonlinear Dyn Econ 2001, 5(3):203-212.
63. Maghyereh A. Oil price shocks and emerging stock markets: a generalized VAR approach. Int J Appl Econ Quant Stud 2004, 1-2:27-40.
64. Hammoudeh S., Dibooglu S., Aleisa A. Relationships among U.S. oil prices and oil industry equity indices. Int Rev Econ Finance 2004, 13:427-453.
65. Huang B., Hwang M.J., Peng H. The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model. Energy Econ 2005, 27:455-476.
66. Lee C., Zeng J. The impact of oil price shocks on stock market activities: assymetric effect with quantile regression. Math Comput Simul 2011, 81:1910-1920.
67. Sari R., Soytas U. The relationship between stock returns, crude oil prices, interest rates, and output: evidence from a developing economy. Empir Econ Lett 2006, 5(4):205-220.
68. Apergis N., Miller S.M. Do structural oil-market shocks affect stock prices?. Energy Econ 2009, 31:569-575.
69. Fowowe B. Jump dynamics in the relationship between oil prices and the stock market: evidence from Nigeria. Energy 2013, 56:31-38.
70. Dickey D., Fuller W. Distribution of the estimators for autoregressive time series with a unit root. JAm Stat Assoc 1979, 74(366):427-431.
71. Dickey D.A., Fuller W.A. The likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 1981, 49:1057-1072.
72. Phillips P.E., Perron P.I. Testing for a unit root in time series regression. Biometrika 1988, 75(2):335-346.
73. Akaike H. Information theory and an extension of the maximum likelihood principle. Second international symposium on information theory 1973, 267-281. Academia Kiado, Budapest. B.N. Petrov, F. Csaki (Eds.).
74. William Schwert G. Why does stock market volatility change over time?. JFinanc 1989, 44(5):1115-1153.
75. MacKinnon J.G. Numerical distribution functions for unit root and cointegration tests. JAppl Econ 1996, 11(6):601-618.
76. Wang P. Financial econometrics: methods and models 2003, Routledge, New York.
77. Engle R.F., Granger C.W.J. Cointegration and error correction: representation, estimation and testing. Econometrica 1987, 55:251-276.
78. Johansen S. Statistical analysis of cointegration vectors. JEcon Dyn Control 1988, 12:231-254.
79. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrics 1991, 59(6):1551-1580.
80. Sims C.A. Macroeconomics and reality. Econometrica 1980, 48:1-48.
81. Harvey A.C. Forecasting structural time series models and the Kalman filter 1989, 554. Press Syndicate of the University of Cambridge.
82. Cooley T.F., Leroy S.F. Atheoretical macroeconometrics: a critique. JMonet Econ 1985, 16:283-308.
83. Runkle D.E. Vector autoregressions and reality. JBus Econ Stat 1987, 5:437-442.
84. Harvey A. Trends, cycles and autoregressions. Econ J 1997, 107(440):192-201.
85. Greene W.H. Econometric analysis 2003, Prentice Hall, New Jersey. 5th ed.
86. Gujarati D., Porter D. Basic econometrics 2009, McGraw-Hill, New York. 5th ed.
87. Granger C.W.J. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 1969, 37(3):424-438.
88. Granger C.W.J. Some recent development in a concept of causality. JEcon 1988, 39(1-2):199-211.
89. Granger C.W.J., Newbold P. Spurious regressions in econometrics. JEcon 1974, 2:111-120.
90. Sims C.A. An autoregressive index model for the U.S 1948-1975. Large-scale macro-econometric models 1981, 283-327. North-Holland Publishing, Amsterdam. J. Kmenta, J.B. Ramsey (Eds.).
91. Kennedy P. Aguide to econometrics 2003, MIT press, Cambridge. 5th ed.
92. Enders W. Applied econometric time series 2010, Wiley. 3rd ed.
93. Park J., Ratti R.A. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Econ 2008, 30:2587-2608.