Next Article in Journal
Preparation and Thermoelectric Properties of Graphite/poly(3,4-ethyenedioxythiophene) Nanocomposites
Next Article in Special Issue
Asymmetric Impacts of Oil Price on Inflation: An Empirical Study of African OPEC Member Countries
Previous Article in Journal
Legal and Regulatory Development of Nuclear Energy in Bangladesh
Previous Article in Special Issue
The Good, the Bad and the Uncertain: Bioenergy Use in the European Union
Article Menu
Issue 10 (October) cover image

Export Article

Open AccessArticle
Energies 2018, 11(10), 2848;

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

Department of Economics, Namık Kemal University, Tekirdağ 59030, Turkey
BSL Business School Lausanne, Rte. de la Maladierè 21, P.O. Box, CH—1022 Chavannes (VD), Switzerland
SBS Swiss Business School, Flughafenstrasse 3, CH-8302 Kloten—Zürich, Switzerland
School of Business, University of Applied Sciences and Arts Northwestern Switzerland (FHNW), CH-4600 Olten, Switzerland
Department of Business Administration, Mersin University, Mersin 33342, Turkey
Author to whom correspondence should be addressed.
Received: 12 August 2018 / Revised: 15 October 2018 / Accepted: 16 October 2018 / Published: 21 October 2018
(This article belongs to the Special Issue Energy Markets and Economics)
Full-Text   |   PDF [7204 KB, uploaded 21 October 2018]   |  


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 distinguish between the effects of daily oil price movements on G7 countries’ and emerging market countries’ stock markets. We further divide the emerging markets into two groups as oil-exporting and oil-importing countries. For the oil market, we use both the West Texas Intermediate (WTI) and Brent oil daily price movements. While the Granger-causality-in-mean tests indicate a causal link from WTI oil prices and G7 countries’ stock returns to MSCI emerging countries’ stock returns, the Granger-causality-in-variance tests suggest no causal link from global oil market prices to stock market returns. Nonetheless, a causal link from the G7 countries’ stock returns to the MSCI emerging countries’ stock returns is detected. In addition, G7 countries’ stock market volatility is found to Granger-cause Brent oil price volatility. The time-varying Granger-causality-in-mean and Granger-causality-in-variance tests present new and further insights. A causal relationship between oil price changes and G7 countries’ stock returns is found for some periods during and after the global financial crisis. Time-varying Granger-causality-in-variance test results indicate evidence of causal linkages among oil prices and global stock market returns that are specific only to certain time periods. We also find that there might be a difference between the movements in Brent and WTI oil prices with respect to their Granger-causal effects on oil-importing emerging markets’ stock returns—especially after the global financial crisis. Our results provide further evidence that the effects of oil price movements on stock returns might be different depending on the volatility in the stock markets. View Full-Text
Keywords: oil prices; stock returns; time-varying Granger-causality; Granger Causality-in-variance oil prices; stock returns; time-varying Granger-causality; Granger Causality-in-variance

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Çevik, E.İ.; Atukeren, E.; Korkmaz, T. Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis. Energies 2018, 11, 2848.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Energies EISSN 1996-1073 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top