Relationship between oil prices and stock market in Lebanon.

Abstract

This paper studies the dynamic relationship between international crude oil prices and the stock market in Lebanon. In addition to the Lebanese stock index, the impact of oil prices on the development and reconstruction sector is investigated. An unrestricted vector autoregression model is applied on daily data for the period 28-7-2003 to 30-12-2011. The results provide evidence that oil prices and Lebanese stock prices are independent. The findings also suggest that the stock market in Lebanon is inefficient in transmitting new information from the international oil market.