اثر نامتقارن قیمت نفت : پاسخ به پازل بازارهای سهام بین المللی

Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effects for oil-importing and oil-exporting countries run in opposite directions. Oil price hikes have a negative effect on the stock markets of oil-importing countries, while the impact is positive for the stock markets of oil-exporting countries. Statistical tests support the presence of asymmetric effects only in oil-importing countries. Oil price volatility has a negative impact in stock markets of oil-importing countries and positive in oil-exporting countries. Moreover, oil volatility seems to be affected asymmetrically by oil price changes. Oil price drops increase oil volatility more than oil price hikes do. Overall, the evidence seems to support that falls in oil prices do not impact stock markets because their positive effects are offset by negative effects of oil price volatility, canceling out effects for oil-importing countries.

We have documented new results about the influence of oil price fluctuations in international stock markets over the period 1988– 2009. First, oil price changes have non-linear effects that run in different directions for oil-importing and oil-exporting countries. Oil price hikes have a negative impact on the stockmarkets of oil-importing countries, while for oil-exporting countries the impact is positive. Oil price drops negatively impact the stock markets of oil-importing countries, but the stock market returns of oil-exporting countries fall even more. Second, when we account for oil price volatility, only oil price hikes are statistically significant. Moreover, the asymmetric effects for oil-importing countries are robust to the inclusion of oil price volatility. Oil price volatility has a negative impact on the stock markets of oil-importing countries and a positive effect on oil-exporting countries, but negative oil price shocks tend to have no effectwhenwe account for oil price volatility. This evidence supports the offsetting mechanism conjectured in Ferderer (1996) that oil price volatility offsets the positive impact of drops in oil prices. First, oil price volatility has a negative effect on the stockmarket returns of oil-importing countries. Second, oil price drops increase oil price volatility, producing a negative effect on the returns of stock markets of oil-importing countries that offsets the positive effects on the economy generated by oil price declines. Our results are consistent with published empirical evidence elsewhere that shows that the economies of oil-exporting countries respond positively to oil price shocks (see Bjørnland, 2009; Korhonen and Ledyaeva, 2010; Mork et al., 1994, for evidence for Norway and for Russia and Canada, respectively) and similar to those on the response of oil and gas companies around the world (see Ramos and Veiga, 2011). Understanding the impact of oil price fluctuations has become an important element in investment decisions and consequently in risk management. Our analysis helps us understand the workings of oil price changes in stock markets. Considerable work remains to be done to validate the theories and the mechanisms that explain the non-linear effects of oil price changes.