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Thai-Ha Le, Youngho Chang, 2011. "The impact of oil price fluctuations on stock markets in developed and emerging economies"
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| Abstract: |
| This study examines the response of stock markets to oil price volatilities in Japan,
Singapore, Korea and Malaysia by applying the generalized impulse response and variance
decomposition analyses to the monthly data spanning 1986:01-2011:02. The results suggest
that the reaction of stock markets to oil price shocks varies significantly across markets.
Specifically, the stock market responds positively in Japan while negatively in Malaysia; the
signal in Singapore and South Korea is unclear. We find that the stock market inefficiency,
among others, appeared to have slowed the responses of the stock market to aggregate shocks
such as oil price surges. |
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