Oil Price and Stock Market Linkages in a Small Oil Dependent Economy: The Case of Greece

Journal of Applied Business Research, Vol. 26, No. 4, p. 55-64, 2010

Posted: 6 Jan 2013

See all articles by Constantinos Katrakilidis

Constantinos Katrakilidis

Aristotle University of Thessaloniki - Department of Economics

Andreas Lake

Eurobank-Ergasias EFG

Dimitri Mardas

Aristotle University of Thessaloniki - Department of Economics

Date Written: 2010

Abstract

We investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.

Keywords: Oil Price, Stock Market, Volatility,Vector Autoregressions, Granger Causality, GARCH

JEL Classification: C22

Suggested Citation

Katrakilidis, Constantinos and Lake, Andreas and Mardas, Dimitri, Oil Price and Stock Market Linkages in a Small Oil Dependent Economy: The Case of Greece (2010). Journal of Applied Business Research, Vol. 26, No. 4, p. 55-64, 2010, Available at SSRN: https://ssrn.com/abstract=2196886

Constantinos Katrakilidis (Contact Author)

Aristotle University of Thessaloniki - Department of Economics ( email )

Thessaloniki, 54124
Greece

HOME PAGE: http://users.auth.gr/katrak

Andreas Lake

Eurobank-Ergasias EFG

20 Amalias Avenue & 5 Souri Street
Athens
Greece

Dimitri Mardas

Aristotle University of Thessaloniki - Department of Economics ( email )

POB 188
540 06 Thessaloniki
Greece
30 31 996427 (Phone)
30 31 996426 (Fax)

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