Oil price and stock markets in Europe: a sector by sector perspective

Abstract : Although previous work shows strong relationships between oil prices and economic activity, the empirical evidence on the impact of oil prices on stock market returns has been mixed. This article investigates the existence of long-term relationships between oil prices and stock market indices in Europe using both aggregate and sector indices and linear and asymmetric cointegration. Our findings show that the response of stock prices to oil price depends greatly on the sector of activity and that oil prices affect stock returns in an asymmetric fashion.
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Mohamed El Hedi Arouri, Philippe Foulquier, Julien Fouquau. Oil price and stock markets in Europe: a sector by sector perspective. Recherches Economiques de Louvain - Louvain economic review, De Boeck Université, 2011, Vol. 77 (n° 1), pp 5-30. ⟨10.3917/rel.771.0005⟩. ⟨hal-00822100⟩

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