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Title: On the time varying relationship between oil price and G7 equity index: a multivariate approach
Authors: Guesmi, Khaled
Fiti, Zied
Abid, Ilyes
Uddin, Gazi Salah
Issue Date: 2016
Publisher: European Association for Comparative Economic Studies (EACES)
Università Carlo Cattaneo - LIUC
Bibliographic citation: Guesmi Khaled, Fiti Zied, Abid Ilyes, Uddin Gazi Salah (2016), On the time varying relationship between oil price and G7 equity index: a multivariate approach. In: The European Journal of Comparative Economics, vol. 13, n. 1, 2016, p. 67-79. E-ISSN 1824-2979.
Abstract: The aim of this paper is to investigate the interaction between G7 stock markets and oil prices during the period 1998-2013. We employ a multivariate approach based on c-DCC-FIAPARCH framework that incorporates the features of asymmetries, persistence, that are typically observed in stock markets and oil prices. We show that the origin of oil price shock is the main driver of the relationship between stock and oil markets. More specifically, our results show, in one hand, that G7 equity market has a high correlation with oil market in the presence of aggregate demand oil price shocks (Asian crisis, housing market boom, Chinese growth, subprime crisis). In other hand, our results highlight that G7 equity market did not react to precautionary demand shocks (09/11 US terrorist attacks, and second Iraq war in 2003).
Journal/Book: The European journal of comparative economics
Appears in Collections:EJCE

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