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Ramzi Benkraiem, Thi hong van Hoang, Amine Lahiani and Anthony Miloudi
''Crude oil and equity markets in major European countries: New evidence''
( 2018, Vol. 38 No.4 )
This article aims at studying the relationship between oil prices and stock indexes in four major European countries, i.e. United Kingdom (UK), Germany, France, and Italy using monthly data over the 1999–2016 period. We employ the Quantile Autoregressive Distributed Lags model of Cho et al. (2015) that accounts for distributional asymmetry in the relationship between stock prices and energy prices in the long and short run. Findings show that the distinction between short-run and long-run, between quantiles, and between countries are of particular importance. For the UK, only the long-run relationship between oil and stock prices is significant at medium and high quantiles. For Italy, this is true only at high quantiles. However, for France and Germany, the relationship is significant only in the short run, at low and medium quantiles for France and only at low quantiles for Germany. The results of the quantile Granger causality test of Troster (2018) confirm the importance of distinguishing between quantiles and between countries while investigating the causal relationship between oil prices and stock indexes. These results contribute to understand inconclusive results in previous studies. They also provide important information for investors, portfolio managers, and policymakers.
Keywords: Equity markets, Oil, Europe, Quantile cointegration, Quantile Granger causality.
JEL: Q4 - Energy: General
C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Manuscript Received : Mar 16 2018 Manuscript Accepted : Nov 06 2018

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