The Impact of Oil Price Uncertainty on the Interdependence of Stock Markets in Selected Developing Countries:  Dynamic Gravity Panel Approach

Fattahi, Shahram; Azami, Somayeh; Abbasi Shakaram, Sheida

doi:10.22075/jem.2019.17472.1290

The Impact of Oil Price Uncertainty on the Interdependence of Stock Markets in Selected Developing Countries: Dynamic Gravity Panel Approach

Document Type : Original Article

Authors

Shahram Fattahi ¹

Somayeh Azami ²

Sheida Abbasi Shakaram ³

¹ Associate Professor of Economics, Razi University

² Assistant Professor of Economics, Razi University

³ Graduated Master of Economics, Razi University

10.22075/jem.2019.17472.1290

Abstract

With the expansion of mutual dependence of financial markets around the world and the transfer of effects from market to market, in recent years financial markets of developing countries have been interdependent. These conditions have led investors who are trying to diversify their assets in other countries equity markets to pay particular attention to stock markets. The aim of this research is to study the stock markets interdependence of selected developing countries Including Iran. Countries studied are Iran, Kuwait, UAE, Indonesia, Saudi Arabia and Oman for the period 2001-2017. The panel gravity model was used for data analysis. Our findings showed there is a positive relationship between market size, financial integration and interdependence of the stock markets. Also, Oil price uncertainty and information capacity had the negative effects on stock markets interdependence.

Keywords

Stock Markets Interdependence

Gravity Panel Model

Oil Price Uncertainty

Developing Countries