The Effect of Crude Oil Price Fluctuations on Stock Market Indices and the Informational Efficiency of these Markets
Cardiff Metropolitan University
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Abstract This study was undertaken to investigate the empirical relationship between world crude oil prices and the price levels of stock market equity indices (FTSE-100 and Dow Jones Industrial Average over a 10 year period; WTI and Brent were the crude oil prices used). Through regression analysis, it sought to analyse the informational efficiency between the markets, the speed at which information permeates each market and the severity of resultant fluctuations. The study showed that there is a significant relationship between FTSE100 and Brent, as well as between DJIA and WTI. Oil shocks do permeate through to stock markets, however the speed at which these shocks are transmitted is unclear and merits further testing.
BScEcon Hons International Economics and Finance
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