Data for: Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?

Abstract of associated article: The main focus of this study is to examine how oil price fluctuations influence the performance of stock markets. This study used the causality approach developed by Toda and Yamamoto (1995) to explore the causality between oil prices and stock prices in the long-run and their short-term impact. The generalized impulse response functions were applied to the monthly data in the period from January 1997 to July 2013. In this study, to capture the different characteristics of oil refining, exporting and importing, three Asian economies were examined. The results indicate that the manner in which a market reacts to hikes in oil prices varies between different markets and periods. This depends on differences in the oil characteristics of the economy and the nature of the shock in oil prices.

关联论文摘要：本研究核心旨在考察油价波动对股票市场表现的影响。本研究采用户田与山本（Toda and Yamamoto, 1995）提出的因果检验方法，探究油价与股价间的长期因果关系及其短期影响。本研究运用广义脉冲响应函数，对1997年1月至2013年7月的月度数据展开实证分析。为捕捉石油炼化、出口及进口型经济体的异质性特征，本研究选取三个亚洲经济体作为研究样本。研究结果表明，不同市场与不同时期对油价上涨的反应模式存在差异，该差异取决于经济体的石油属性特征与油价冲击的本质。