Register  |  Login  |  Inquiries  |  Sitemap
Advanced Search
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 and 
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 Journal of Economic Integration
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
TOOLS
PDF Links  PDF Links
Full text via DOI  Full text via DOI
Download Citation  Download Citation
Supplement  Supplement
  E-Mail
  Print
Share:      
METRICS
0
Crossref
0
Scopus
336
View
32
Download
From Oil to Stock Markets  2016 March;31(1)
The Asymmetric Effects of a Common Monetary Policy in Europe  2009 September;24(3)
Editorial Office
Center for Economic Integration, Sejong Institution, Sejong University, 209, Neungdong-Ro, Gwangjin-Gu,
Seoul, 05006, Korea
TEL : +82-2-3408-3338    FAX : +82-2-3408-3338   E-mail : jei@sejong.ac.kr
Browse Articles |  Current Issue |  For Authors and Reviewers |  About
Copyright© by Center for Economic Integration. All right reserved.