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Oil Price And Stock Market Linkages In A Small And Oil Dependent Economy: The Case Of Greece

Katrakilidis Constantinos, Lake Andreas Ektor, Mardas Dimitrios
2010 Journal of Applied Business Research  

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<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;">We </span><span style="color: black; font-size: 10pt; mso-ansi-language: EN-GB; mso-themecolor: text1;" lang="EN-GB">investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse
more » ... rically 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.</span></span><strong style="mso-bidi-font-weight: normal;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;"></span></strong></p>
doi:10.19030/jabr.v26i4.306 fatcat:fzv2fotfafch5bsny3mdilngzi
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Katrakilidis Constantinos, Lake Andreas Ektor, Mardas Dimitrios. "Oil Price And Stock Market Linkages In A Small And Oil Dependent Economy: The Case Of Greece." Journal of Applied Business Research 26.4 (2010)