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:: Volume 3, Issue 11 (Quarterly Journal of Fiscal and Economic Policies 2016) ::
qjfep 2016, 3(11): 85-108 Back to browse issues page
The Asymmetric Effect of Oil Price Shock on Stock Market: Evidence from Oil Exporting Countries
Mohamad Mirhashemi Dehnavi *
Abstract:   (16083 Views)

This paper performs an empirical investigation into the relationship between oil price and stock market price for five countries (Kuwait, Oman, UAE, Qatar and Iran) using panel unit root test, panel co-integration test and Breusch-Pagan cross-section dependency test. For this aim, daily data for oil price, gold price, exchange rate and stock exchange index from countries since January 2008 to July 2012 have been used. Breusch-Pagan LM test for cross-sectional dependency and SUR method is used in our sample. The empirical findings show the asymmetric effect of oil price shock on stock market in oil exporting countries.

Keywords: Asymmetric Effect of Oil Price Shock, Oil Exporting Stock Market, Cross-Sectional Dependency, Seemingly Unrelated Regression.
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Type of Study: Applicable | Subject: Special
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Mirhashemi Dehnavi M. The Asymmetric Effect of Oil Price Shock on Stock Market: Evidence from Oil Exporting Countries . qjfep 2016; 3 (11) :85-108
URL: http://qjfep.ir/article-1-80-en.html


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Volume 3, Issue 11 (Quarterly Journal of Fiscal and Economic Policies 2016) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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