Dynamic Relationships between Stock Market and Oil Futures
| Autor: | Chia-Hsuan Hsieh, 謝佳璇 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 The primary aim of this paper is to investigate the dynamic relationships between the prices of WTI (West Texas Intermediate) crude oil futures and the stock market returns in the developed and emerging economies using unit root test, cointegration test, vector error correction model and Granger-causality test. The samples were collected from January 1, 1997 to December 29, 2006. The empirical results indicate that all variables are non-stationary but their first differences are stationary. Based on cointegration test, the long-term relationship existed among oil futures, S&P 500, and the stock market returns only in three emerging markets prior to the 911 attacks. However, there was a long-term equilibrium relationship among oil futures, S&P 500, and the stock market returns in each country after 911. Analysis of vector error correction mechanism shows that oil futures, stock market returns, and S&P 500 adjusted to correct disequilibrium among the three variables. Granger-causality test reveals a one-way causal direction from oil futures to the stock markets of Argentina, Brazil, Malaysia, Russia and South Africa after 911 while there were bi-directional causalities between S&P 500 and the stock markets in seven developed and emerging countries. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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