Footnote:
In: Cogent Economics & Finance, 10:1, 2018163
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2022 erstellt
Description:
The study examines the vital connection between stock returns and oil price changes for oil-exporting/importing countries separately. We present evidence employing granger causality, impulse response, and error variance decomposition based on panel vector autoregression. The results of panel granger causality suggested that after the oil price crash owing to the covid-19 pandemic, the interdependence between oil and stock price changes increased. Similar results were revealed by impulse response graphs and forecast error variance decomposition. Specifically, in the period marked by the rapid outbreak of the COVID-19 pandemic, causality from oil to stocks increased. Although we found that both oil-exporting and oil-importing countries were affected in a similar way, oil price changes had a larger impact on oil-exporting countries. The findings of the present study have implications for investors and fund managers. By incorporating crude oil price in the prediction models, the accuracy of the stock returns forecast can be improved