Authors: Dengjun Zhang; Frank Asche
Addresses: Department of Industrial Economics, University of Stavanger, Stavanger N-4036, Norway ' Department of Industrial Economics, University of Stavanger, Stavanger N-4036, Norway
Abstract: We investigate the influence of the crude oil price on the Nordic stock markets (i.e., Norway, Sweden, Denmark and Finland). The estimated cointegration vectors indicate that the oil price has a positive influence on each of the four markets, with the strongest effect on Norway, the only oil-exporting country in this region. The findings support the hypothesis of a positive relationship between stock prices and a rising oil price, which is mainly driven by the aggregate global demand. Variance decomposition statistics further reveal the differences between the responses of Norway and the responses of the three other countries to supply and demand shocks in the crude oil market.
Keywords: stock markets; Nordic region; cointegration; SVAR; crude oil prices; oil price shocks; Norway; Sweden; Denmark; Finland.
International Journal of Trade and Global Markets, 2014 Vol.7 No.4, pp.300 - 315
Received: 19 Jul 2013
Accepted: 03 Nov 2013
Published online: 02 Feb 2015 *