Oil prices impact on stock markets: what we learned for the case of oil exporting countries?

This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and oil prices for a sample of four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCCGARCH approach developed by Glosten et al. (1993). The results show that cross-market comovements as measured by conditional correlation coefficients increase positively in response to significant aggregate demand (precautionary demand) and oil price shocks due to global business cycle fluctuations or world turmoil and oil prices exhibit positive correlation with stock markets.