Data for: Oil Shocks and their Impacts on the Stock Markets in Oil Importing and Exporting Countries
Abstract of associated article: The influence of oil price shock and oil shocks on the stock market indices of oil importing and exporting countries is examined in this study. A monthly database from January 2003 to December 2022 while collecting values for groups of data for the global oil price shock and for oil shocks. These, according to Baumeister & Hamilton (2019), are broken down into four variants: oil supply shock, economic activity shock, oil consumption shock and oil inventory shock. Major stock indices of oil-importing and oil-exporting countries were used for stock market data. Following Sadorsky (1999), Wang et al. (2013), Zhang (2017), and Mokni (2020), a Vector Autoregressive (VAR) model was estimated to analyze the influence of oil shocks on the stock market indices of oil importing and exporting countries. The data analyzed show that oil shocks have a greater predictive influence on the stock market indices of countries that export oil, as opposed to the stock indices of countries that import same. Furthermore, responses to oil shocks after eight consecutive periods were more significant for the stock indices of oil-exporting countries. Therefore, it is concluded that the stock markets of exporting countries are more sensitive to changes in oil prices
Steps to reproduce
Se indagó la federación internacional de intercambio y en la pagina web de Investing.com para la selección de los indices bursatiles, para los shocks del petroleo se indagó en la pagina web de la profesora Christiane Baumeister - Research https://sites.google.com/site/cjsbaumeister/research Se utilizó el programa Stata 17.