Title: The oil price shocks and Nordic stock markets

Authors: Dengjun Zhang; Frank Asche

Addresses: Department of Industrial Economics, University of Stavanger, Stavanger N-4036, Norway ' Department of Industrial Economics, University of Stavanger, Stavanger N-4036, Norway

Abstract: We investigate the influence of the crude oil price on the Nordic stock markets (i.e., Norway, Sweden, Denmark and Finland). The estimated cointegration vectors indicate that the oil price has a positive influence on each of the four markets, with the strongest effect on Norway, the only oil-exporting country in this region. The findings support the hypothesis of a positive relationship between stock prices and a rising oil price, which is mainly driven by the aggregate global demand. Variance decomposition statistics further reveal the differences between the responses of Norway and the responses of the three other countries to supply and demand shocks in the crude oil market.

Keywords: stock markets; Nordic region; cointegration; SVAR; crude oil prices; oil price shocks; Norway; Sweden; Denmark; Finland.

DOI: 10.1504/IJTGM.2014.067260

International Journal of Trade and Global Markets, 2014 Vol.7 No.4, pp.300 - 315

Received: 19 Jul 2013
Accepted: 03 Nov 2013
Published online: 02 Feb 2015 *

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