Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries

• Main Author: Amin, Masoud Yousefi
• Format: Thesis
• Language: English; English
• Published: 2011
• Subjects: Petroleum industry and trade - Economy aspects; Petroleum industry and trade - Prices; Stock exchanges
• Online Access: http://psasir.upm.edu.my/id/eprint/20808/1/FEP_2011_14_IR.pdf; http://psasir.upm.edu.my/id/eprint/20808/
• Institution: Universiti Putra Malaysia

This dissertation analyzes the dynamic relationship between oil price changes and stock market for the six main net oil exporting countries namely IRAN, RUSSIA, SAUDI ARABIA, NIGERIA, NORWAY and United Arab Emirates using weekly data from 16/1/2005–15/6/2010. The unrestricted multivariate Vector Aut...