The Asymmetric Responses of Stock Markets

Dhaoui, Abderrazak; Goutte, Stéphane; Guesmi, Khaled

doi:2018.33.1.1096

Journal of Economic Integration 2018 March;33(1) :1096-1140.
DOI: https://doi.org/10.11130/jei.2018.33.1.1096

The Asymmetric Responses of Stock Markets

Abderrazak Dhaoui, Stéphane Goutte, Khaled Guesmi

Ipag Business School, University of Sousse, Tunisia
Université Paris 8 (LED), Paris, France
Ipag Business School, Paris, France

Corresponding Author: Abderrazak Dhaoui ,Tel: 0033149407394, Email: abderrazak.dhaoui@yahoo.fr

ABSTRACT

This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By defining oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long- and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

JEL Classification

G1: General Financial Markets
E4: Money and Interest Rates
Q4: Energy

Keywords: Oil Price Shocks | Stock Markets | Nonlinear Autoregressive Distributed Lag | Dynamic Multiplier