Oil Price and Stock Market Linkages in a Small Oil Dependent Economy

Download or read book Oil Price and Stock Market Linkages in a Small Oil Dependent Economy written by Constantinos Katrakilidis and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.