Testing for linear and nonlinear causality between crude oil price changes and stock market returns

Artikel

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market returns. The linear and nonlinear causality tests were conducted through the standard VAR and the M-G frameworks, respectively. The results from both the linear and nonlinear unit root tests indicate that crude oil price changes and stock market returns are level stationary. The results from the standard VAR model provide evidence of bidirectional causality between crude oil price changes and stock market returns. The results from the M-G causality test support the finding of nonlinear bidirectional causality between crude oil price changes and stock market returns.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Economic Sciences and Applied Research ; ISSN: 1791-3373 ; Volume: 4 ; Year: 2011 ; Issue: 3 ; Pages: 75-92 ; Kavala: Kavala Institute of Technology

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Energy and the Macroeconomy
• Subject: crude oil prices ; nonlinear causality ; stock market returns ; BDS ; structural breaks

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Anoruo, Emmanuel
• Event: Veröffentlichung
• (who): Kavala Institute of Technology
• (where): Kavala
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/66595
• Last update: 10.03.2025, 11:44 AM CET