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Oil Prices and Stock Markets in Europe: A Sector Perspective*

  • Mohamed El Hedi Arouri, Philippe Foulquier and Julien Fouquau


Although previous work shows strong relationships between oil prices and economic activity, the empirical evidence on the impact of oil prices on stock market returns has been mixed. This article investigates the existence of long-term relationships between oil prices and stock market indices in Europe using both aggregate and sector indices and linear and asymmetric cointegration. Our findings show that the response of stock prices to oil price depends greatly on the sector of activity and that oil prices affect stock returns in an asymmetric fashion.



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Corresponding author. We thank two anonymous reviewers and Stéphane Grégoir for very helpful comments and suggestions on an earlier version of the paper. The usual disclaimer applies.



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Oil Prices and Stock Markets in Europe: A Sector Perspective*

  • Mohamed El Hedi Arouri, Philippe Foulquier and Julien Fouquau


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