Effect of Oil Price Changes on Stock Market Returns: an ARDL Approach

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dc.contributor.advisorQiu, J.
dc.contributor.authorNasr, Anugerah Zamzami
dc.date.issued2016-10-11
dc.description.abstractThis thesis studies the effect of oil price changes and the stock market returns in 26 countries comprising oil exporter and importer as well as developed and developing countries covering period of January 2000 to March 2016. Using ARDL approach, bound test results show the existence of a long-run relationship between excess stock market returns, oil price changes and other explanatory variables in all countries. The study discovers that oil price changes have significant negative long-term effect on stock market returns in oil importing countries except Austria, Netherlands and South Africa. On the other hand, oil price changes influence stock market returns positively and significantly in the long run in oil exporting countries. Meanwhile, the level of development of country found to be unrelated towards the magnitude of the relationshipen_US
dc.identifier.urihttp://hdl.handle.net/123456789/2794
dc.language.isoenen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleEffect of Oil Price Changes on Stock Market Returns: an ARDL Approachen_US
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