Year
2013
Abstract
This paper finds evidence that effects for oil-importing and oil-exporting countries run in opposite directions. Oil price hikes have a
negative effect on the stock markets of oil-importing countries, while the impact is positive for the stock
markets of oil-exporting countries. Statistical tests support the presence of asymmetric effects only in
oil-importing countries. Oil price volatility has a negative impact in stock markets of oil-importing countries
and positive in oil-exporting countries. Moreover, oil volatility seems to be affected asymmetrically by oil
price changes. Oil price drops increase oil volatility more than oil price hikes do. Overall, the evidence
seems to support that falls in oil prices do not impact stock markets because their positive effects are offset
by negative effects of oil price volatility, canceling out effects for oil-importing countries.
RAMOS, S. et VEIGA, H. (2013). Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets. Energy Economics, 38(1), pp. 136-145.