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 |
Copyright ©2018 The Journal of Economic Integration |
ABSTRACT |
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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
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