Response of Stock Returns to Oil Price Shocks
: Evidence from Oil Importing and Exporting Countries |
Jamal Bouoiyour, Refk Selmi, Syed Jawad Hussain Shahzad, Muhammad Shahbaz, |
CATT, University of Pau, Pau, France
ERNA, University of Tunis El Manar, Tunis, Tunisia & University of Pau, Pau, France
ESD, Montpellier Business School, Montpellier, France |
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Corresponding Author:
Refk Selmi ,Tel: +33 0559408001, Fax: +33 0559408010, Email: refk.selmi@univ-pau.fr; s.refk@yahoo.fr |
| Copyright ©2017 The Journal of Economic Integration |
| ABSTRACT |
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This paper examines the entire dependence structure of the quantile of stock return and that of oil price shocks, thereby extending the Quantile Regression to a Quantile-on-Quantile Regression. Based on historical monthly data covering the period April 1994~ September 2015, it was shown that there is substantial heterogeneity in the stock returns and oil price relationship across oil importing countries and oil exporting countries. Specifically, we find that the stocks of oil exporters that possess large proven oil reserves, in particular, Venezuela, Russia, and Saudi Arabia are typically more responsive toward demand-side oil shocks than those of oil importers. The intensity and the extent of these responses differ depending on the different stock market conditions and the nuances of oil price movements. Accordingly, profitable speculation and arbitrage strategies can be built on the basis of our findings.
JEL Classification
E44: Financial Markets and the Macroeconomy
G12: Asset Pricing; Trading volume; Bond Interest Rates
Q43: Energy and the Macroeconomy |
| Keywords:
Oil Price Shocks | Stock Returns | Dependence of Quantiles | Oil Exporting Countries | Oil Importing Countries
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