Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis

This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley Capital International (MSCI) G7 and the MSCI Emerging Stock Market Indexes to...

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Bibliographic Details

Published in:	Energies
Main Authors:	Emrah İ. Çevik, Erdal Atukeren, Turhan Korkmaz
Format:	Article
Language:	English
Published:	MDPI AG 2018-10-01
Subjects:	oil prices stock returns time-varying Granger-causality Granger Causality-in-variance
Online Access:	http://www.mdpi.com/1996-1073/11/10/2848