Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

By George Filis, Stavros Degiannakis *, Christos Floros. 2011

792 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/b4158fd743f2e9abc00770294dba24db04773d61

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Dynamic spillovers of oil price shocks and economic policy uncertainty (2014, background): “…authors have documented the significance of disentangling oil price shocks in order to assess their true impact on the economy (see, among others, Degiannakis et al., 2014; Baumeister and Peersman, 2013; Lippi and Nobili, 2012; Kilian and Lewis, 2011; Filis et al., 2011; Kilian and Park, 2009).”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Most recently, 6 For linkage between oil prices and stock returns, see also Jones and Kaul (1996), Hammoudeh, et al. (2004), Park and Ratti (2008), Chiou and Lee (2009), Malik and Ewing (2009), Choi and Hammoudeh (2010), and Filis et al. (2011).”
Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries (2013, background): “…they may possibly yield different effects on the tourism sector (authors who have considered the origin of the oil price shock in their studies include Kilian and Lewis (2011), Filis et al. (2011), Apergis and Miller (2009), Lescaroux and Mignon (2008), Kilian (2008) and Barsky and Kilian (2004)).”
Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2014, background): “Similar conclusions were presented in other studies, such as Omrana (2003), Flannery and Protopapadakis (2002) and Siklos and Kwok (1999).”
What precious metals act as safe havens, and when? Some US evidence (2015, neutral): “Author & year Safe haven assets/currencies/countries Time period Baur and Lucey (2010) Gold is safe haven in extreme stock market conditions November 1995–November 2005 Baur and McDermott (2010) Gold 1979–2009 Beckmann and Scheiber (2010) Euro in Southeastern Europe Survey in 2011 Schuknecht and Von”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “One of the early findings in this line of research is by Filis et al. (2011), who show that the correlation between oil and stock markets is time-varying and responds to the various oil price shocks.”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, positive): “We find that, most of the time, the correlations between oil and equities are positive, which is in line with Arouri et al. (2011), Filis et al. (2011), Awartani and Maghyereh (2013), among others.”