قياس العلاقة التبادلية بين صدمات أسعار النفط وأداء الأسواق المالية خلال الفترة 1990-2020

Abstract

This study aims to know the reciprocal relationship between oil price shocks and the performance of financial markets in Algeria during the period (1999-2020). VAR indicates that the relationship between oil price fluctuations and both the market value of shares and the stock market capitalization index is an inverse relationship, and the results of the response functions analysis indicated that a shock in oil prices will negatively affect the financial market indicators in Algeria, the percentage of change in oil prices and its effects on The stock market capitalization index is considered high, depending on the value of the coefficient of determination R2 = 0.80, meaning that oil prices explain the stock market capitalization index by 80%, and the results of causation according to Granger indicated that there is a one way causal relationship between oil prices and the stock market capitalization index, in While the rest of the results indicate that there is no causal relationship in both directions between the oil price and the stock market value index, which is indicated by the probability values that exceed the 5% level of significance.