The Asymmetric Responses of Stock MarketsStephane GOUTTE, Khaled GUESMI, Abderrazak DHAOUI
This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By de ning oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long- and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.