Oil Price and Stock Market Linkages in a Small Oil Dependent Economy: The Case of Greece
Journal of Applied Business Research, Vol. 26, No. 4, p. 55-64, 2010
Posted: 6 Jan 2013
Date Written: 2010
Abstract
We investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.
Keywords: Oil Price, Stock Market, Volatility,Vector Autoregressions, Granger Causality, GARCH
JEL Classification: C22
Suggested Citation: Suggested Citation