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The impact of global oil price shocks on the Lebanese stock market

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dc.contributor.author Dagher, L.
dc.contributor.author El Hariri S.
dc.contributor.editor
dc.date 2013
dc.date.accessioned 2017-10-03T15:55:05Z
dc.date.available 2017-10-03T15:55:05Z
dc.date.issued 2013
dc.identifier 10.1016/j.energy.2013.10.012
dc.identifier.isbn
dc.identifier.issn 03605442
dc.identifier.uri http://hdl.handle.net/10938/12984
dc.description.abstract This study investigates the dynamic linkages between oil prices and stock markets, also known as the oil price-stock price nexus. Within the framework of a VAR (vector autoregression) we examine dynamic interactions between daily Brent spot prices and several Lebanese stock prices. As expected, we find evidence of oil prices Granger causing stock prices, but no evidence of the opposite relationship. To better understand how shocks in the oil market are transmitted to the stock market, the orthogonalized impulse response function is examined. The behavior of all stocks examined is very similar; they all respond positively to a shock in crude oil prices on the same day and the day after the shock, with the impact of the shock disappearing thereafter. As for the variance decomposition analysis, it shows that the forecast errors of the stocks are largely attributable to their own innovations and the percentages do not change much with time. Only around 1percent is attributable to oil shocks, increasing to around 3percent after a few days and remaining at that level. Thus, our main conclusion is that the estimated level of the impact of an oil price shock on the Lebanese stock market is positive but marginal. © 2013 Elsevier Ltd.
dc.format.extent
dc.format.extent Pages: (366-374)
dc.language English
dc.publisher OXFORD
dc.relation.ispartof Publication Name: Energy; Publication Year: 2013; Volume: 63; Pages: (366-374);
dc.relation.ispartofseries
dc.relation.uri
dc.source Scopus
dc.subject.other
dc.title The impact of global oil price shocks on the Lebanese stock market
dc.type Article
dc.contributor.affiliation Dagher, L., American University of Beirut, Department of Economics, P.O.Box 11-0236, Riad El-Solh, Beirut 1107 2020, Lebanon
dc.contributor.affiliation El Hariri, S., American University of Beirut, Department of Economics, P.O.Box 11-0236, Riad El-Solh, Beirut 1107 2020, Lebanon
dc.contributor.authorAddress Dagher, L.; American University of Beirut, Department of Economics, P.O.Box 11-0236, Riad El-Solh, Beirut 1107 2020, Lebanon; email: ld08@aub.edu.lb
dc.contributor.authorCorporate University: American University of Beirut; Faculty: Faculty of Arts and Sciences; Department: Economics;
dc.contributor.authorDepartment Economics
dc.contributor.authorDivision
dc.contributor.authorEmail ld08@aub.edu.lb
dc.contributor.faculty Faculty of Arts and Sciences
dc.contributor.authorInitials Dagher, L
dc.contributor.authorInitials El Hariri, S
dc.contributor.authorOrcidID
dc.contributor.authorReprintAddress Dagher, L (reprint author), Amer Univ Beirut, Dept Econ, POB 11-0236, Beirut 11072020, Lebanon.
dc.contributor.authorResearcherID
dc.contributor.authorUniversity American University of Beirut
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dc.description.citedCount 1
dc.description.citedTotWOSCount 1
dc.description.citedWOSCount 1
dc.format.extentCount 9
dc.identifier.articleNo
dc.identifier.coden ENEYD
dc.identifier.pubmedID
dc.identifier.scopusID 84888427761
dc.identifier.url
dc.publisher.address THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND
dc.relation.ispartofConference
dc.relation.ispartofConferenceCode
dc.relation.ispartofConferenceDate
dc.relation.ispartofConferenceHosting
dc.relation.ispartofConferenceLoc
dc.relation.ispartofConferenceSponsor
dc.relation.ispartofConferenceTitle
dc.relation.ispartofFundingAgency
dc.relation.ispartOfISOAbbr Energy
dc.relation.ispartOfIssue
dc.relation.ispartOfPart
dc.relation.ispartofPubTitle Energy
dc.relation.ispartofPubTitleAbbr Energy
dc.relation.ispartOfSpecialIssue
dc.relation.ispartOfSuppl
dc.relation.ispartOfVolume 63
dc.source.ID WOS:000329552500037
dc.type.publication Journal
dc.subject.otherAuthKeyword Beirut Stock Exchange
dc.subject.otherAuthKeyword Impulse response function
dc.subject.otherAuthKeyword Oil price shocks
dc.subject.otherAuthKeyword Variance decomposition
dc.subject.otherChemCAS
dc.subject.otherIndex Crude oil prices
dc.subject.otherIndex Dynamic interaction
dc.subject.otherIndex Forecast errors
dc.subject.otherIndex Impulse response functions
dc.subject.otherIndex Oil price shocks
dc.subject.otherIndex Stock exchange
dc.subject.otherIndex Variance decomposition
dc.subject.otherIndex Vector autoregressions
dc.subject.otherIndex Commerce
dc.subject.otherIndex Regression analysis
dc.subject.otherIndex Costs
dc.subject.otherIndex decomposition
dc.subject.otherIndex global economy
dc.subject.otherIndex innovation
dc.subject.otherIndex oil prod
dc.subject.otherKeywordPlus AUTOREGRESSIVE TIME-SERIES
dc.subject.otherKeywordPlus UNIT-ROOT
dc.subject.otherKeywordPlus COINTEGRATION VECTORS
dc.subject.otherKeywordPlus FINANCIAL-MARKETS
dc.subject.otherKeywordPlus SECTOR ANALYSIS
dc.subject.otherKeywordPlus JUMP DYNAMICS
dc.subject.otherKeywordPlus ENERGY SHOCKS
dc.subject.otherKeywordPlus VOLATILITY
dc.subject.otherKeywordPlus RETURNS
dc.subject.otherKeywordPlus CHINA
dc.subject.otherWOS Thermodynamics
dc.subject.otherWOS Energy and Fuels


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