CEU Electronic Theses and Dissertations, 2016
| Author | Horváth, Milán |
|---|---|
| Title | The co-movement of stock market indices and commodity prices before and during the recent crisis |
| Summary | This study investigates the short-run and long-run co-movement of commodity prices and different stock market indices before and during the recent crisis. To analyze these relationships, the existence Granger causality and cointegration is tested between oil and gold price and the stock market index of Hungary, Japan, Norway, Russia and the United Kingdom from January 1, 2000 to December 31, 2015. Both short-run and long-run co-movement was observed with gold prices more often than with oil prices. Gold price changes Granger caused Russian stock returns while for the other riskier country, Hungary, causal relationship was not observed. For Japanese stocks bidirectional causality was observed when the effect was significant. For Norway also gold price changes Granger caused stock returns. For the United Kingdom the direction of causality was different, stock returns Grange caused gold price changes more often. The causal relationship between oil price changes and stock returns was insignificant through the whole sample for the oil importing countries such as Hungary or Japan. Among the other countries oil price changes Granger caused stock returns for Norway the most often. In the pre-crisis period this effect was significant for the other oil exporting country, Russia too. For the United Kingdom the direction of causality was different again when the effect was significant. The results do not show that the short-run co-movement become stronger in the recent crisis. Long-run co-movement was significant for Hungary with oil in half of the periods, while for other countries it was insignificant in most cases. |
| Supervisor | Kőrösi, Gábor |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2016/horvath_milan.pdf |
Visit the CEU Library.
© 2007-2021, Central European University