文章基本信息

标题：Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns
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作者：Anoruo, Emmanuel
期刊名称：International Journal of Business and Economic Sciences Applied Research (IJBESAR)
印刷版ISSN：2408-0101
出版年度：2011
卷号：4
期号：3
页码：75-92
出版社：Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece
摘要：This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States.In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market returns.The linear and nonlinear causality tests were conducted through the standard VAR and the M-G frameworks, respectively.The results from both the linear and nonlinear unit root tests indicate that crude oil price changes and stock market returns are level stationary.The results from the standard VAR model provide evidence of bidirectional causality between crude oil price changes and stock market returns.The results from the M-G causality test support the finding of nonlinear bidirectional causality between crude oil price changes and stock market returns.
关键词：Crude oil prices; nonlinear causality; stock market returns; BDS; structural breaks