Friday, 26 March 2010: 17:25
We investigate the linkages between oil prices and the stock market behaviour in a small and oil dependent economy. We analyse the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece . We employ VAR modelling in conjunction with Granger-causality tests. Our results suugest the the existence of significant positive causal effects from oil price changes on the stock market.