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Oil Prices and Stock Markets in Europe: A Sector Perspective*

Published online by Cambridge University Press:  09 January 2015

Mohamed El Hedi Arouri ,
Philippe Foulquier  and
Julien Fouquau
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Summary

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.

Bien que de nombreuses études antérieures montrent l'existence d'une relation significative entre le prix du pétrole et l'activité économique, les résultats des travaux empiriques sur l'effet des variations des prix du pétrole sur les marchés boursiers sont hétérogènes. Cet article examine l'existence de relations à long terme entre les prix du pétrole et les prix des actions en Europe en utilisant des données agrégées et sectorielles ainsi que des modèles de cointégration linéaire et asymétrique. Nos résultats montrent que la réponse des prix des actions aux variations des prix du pétrole change considérablement d'un secteur d'activité à l'autre et que les variations des prix du pétrole affectent asymétriquement les marchés boursiers.

Keywords

European sectoral analysisoil pricesstock marketsasymmetric cointegrationanalyse sectorielleprix du pétrolemarchés boursierscointégration asymétriqueG12F3Q43G12F3Q43
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 77 , Issue 1 , March 2011 , pp. 5 - 30
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2011 

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Footnotes

**

LEO-Université d'Orléans & EDHEC Business School, mohamed.arouri@univ-orleans.fr

***

EDHEC Business School, philippe.foulquier@edhec.edu

****

Rouen Business School & CGEMP-LEDa, jfq@rouenbs.fr

*

Corresponding author. We thank two anonymous reviewers and Stéphane Grégoir for very helpful comments and suggestions on an earlier version of the paper. The usual disclaimer applies.

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