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Arouri Mohamed El Hedi and Jawadi Fredj
''Short and long-term links between oil prices and stock markets in Europe''
( 2010, Vol. 30 No.1 )
Although the assumption in the financial press is that fluctuations in the price of oil affect stock market prices, empirical evidence of the impact of these fluctuations on stock returns has been mixed. Unlike other empirical studies, which have focused largely on broad market indices (national and/or regional indices), our study adds to knowledge of the relationship between oil prices and stock markets in Europe by testing for short- and long-term links in the aggregate as well as sector by sector. We show that the response of stock returns to oil price changes differs greatly depending on the sector of activity. In particular, we show that changes in the price of oil have negative effects on short- and long-term stock prices in Food & Beverages.
Keywords: oil prices, short and long term analysis, sector indices.
Q4 - Energy: General
Manuscript Received : Sep 07 2009 Manuscript Accepted : Mar 25 2010

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